| Publication type: |
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Preprint, Working Paper, ... |
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| Subject: |
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Mathematics/Probability
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| Title: |
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Forward-backward systems for expected utility maximization |
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| Author(s): |
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Ulrich Horst ( ) 1, Ying Hu () 2, Peter Imkeller () 1, Anthony Reveillac ( ) 3, Jianing Zhang () 4 |
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| Laboratory: |
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| Research team: |
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Processus stochastiques |
| Abstract: |
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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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| Fulltext language: |
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English |
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| Production date: |
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2011-10-12 |
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| Keyword(s): |
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Forward-Backward Stochastic Differential Equations – utility maximization |
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| Classification: |
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MSC: 60H10; 93E20; JEL: C61; D52; D53 |
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