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Forward-backward systems for expected utility maximization

Please always quote using this URN:urn:nbn:de:0296-matheon-10485
  • In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Di� erential Equation (FBSDE).

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Metadaten
Author:Ulrich Horst, Ying Hu, Peter Imkeller, Anthony Reveillac, Jianing Zhang
URN:urn:nbn:de:0296-matheon-10485
Referee:Dirk Becherer
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2012/01/31
Release Date:2012/01/31
Institute:Humboldt-Universität zu Berlin
MSC-Classification:60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H10 Stochastic ordinary differential equations [See also 34F05]
93-XX SYSTEMS THEORY; CONTROL (For optimal control, see 49-XX) / 93Exx Stochastic systems and control / 93E20 Optimal stochastic control
Preprint Number:911
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