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Forward-backward systems for expected utility maximization

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
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http://hal.archives-ouvertes.fr/hal-00631727/fr/
Date
2014
Nom de la revue
Stochastic Processes and their Applications
Volume
124
Numéro
5
Éditeur
Elsevier
Pages
1813–1848
Identifiant publication
Métadonnées
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Auteur(s)
Zhang, Jianing
Réveillac, Anthony
Imkeller, Peter
Hu, Ying
Horst, Ulrich
Résumé (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).
Mots-clés
utility maximization; Forward-Backward Stochastic Differential Equations; Stochastic control; Convex duality theory