Forward-backward systems for expected utility maximization

2011/10/12 by Horst, Ulrich, Hu, Ying, Imkeller, Peter +2 · 1 citation
#60H10 #93E20 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1110.2713

Abstract

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).

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