Forward-backward systems for expected utility maximization

Zhang, Jianing; Réveillac, Anthony; Imkeller, Peter; Hu, Ying; Horst, Ulrich

Zhang, Jianing; Réveillac, Anthony; Imkeller, Peter; Hu, Ying; Horst, Ulrich (2014), Forward-backward systems for expected utility maximization, Stochastic Processes and their Applications, 124, 5, p. 1813–1848. http://dx.doi.org/10.1016/j.spa.2014.01.004

Type

Article accepté pour publication ou publié

External document link

http://hal.archives-ouvertes.fr/hal-00631727/fr/

Date

2014

Journal name

Stochastic Processes and their Applications

Volume

124

Number

Publisher

Elsevier

Pages

1813–1848

Abstract (EN)

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 Differential Equation (FBSDE).

Subjects / Keywords

utility maximization; Forward-Backward Stochastic Differential Equations; Stochastic control; Convex duality theory