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Forward-backward systems for expected utility maximization

dc.contributor.authorZhang, Jianing
dc.contributor.authorRéveillac, Anthony
HAL ID: 745074
dc.contributor.authorImkeller, Peter
dc.contributor.authorHu, Ying
dc.contributor.authorHorst, Ulrich
dc.date.accessioned2011-10-19T14:57:45Z
dc.date.available2011-10-19T14:57:45Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7259
dc.language.isoenen
dc.subjectutility maximizationen
dc.subjectForward-Backward Stochastic Differential Equationsen
dc.subjectStochastic control
dc.subjectConvex duality theory
dc.subject.ddc519en
dc.titleForward-backward systems for expected utility maximizationen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherWeierstrass Institute for Applied Analysis and Stochastics (WIAS Berlin) http://www.wias-berlin.de/research/rgs/fg6/index.jsp?lang=1 Leibniz Association;Allemagne
dc.contributor.editoruniversityotherInstitut de Recherche Mathématique de Rennes (IRMAR) http://www.math.univ-rennes1.fr/irmar CNRS : UMR6625 – Université de Rennes I – École normale supérieure de Cachan - ENS Cachan – Institut National des Sciences Appliquées de Rennes – Université Rennes 2;France
dc.contributor.editoruniversityotherInstitut für Mathematik http://www.math.hu-berlin.de/ Humboldt Universität zu Berlin;Allemagne
dc.description.abstractenIn 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).en
dc.relation.isversionofjnlnameStochastic Processes and their Applications
dc.relation.isversionofjnlvol124
dc.relation.isversionofjnlissue5
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages1813–1848
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.spa.2014.01.004
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00631727/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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