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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| 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 |
