Forward-backward systems for expected utility maximization

被引：28

作者：

Horst, Ulrich ^{[1
]}

Hu, Ying ^{[2
]}

Imkeller, Peter ^{[1
]}

Reveillac, Anthony ^{[3
]}

Zhang, Jianing ^{[4
]}

机构：

[1] Humboldt Univ, Math Inst, D-10099 Berlin, Germany

[2] Univ Rennes 1, F-35042 Rennes, France

[3] Univ Paris 09, CEREMADE UMR CNRS 7534, F-75775 Paris 16, France

[4] Tech Univ Munich, Zentrum Math, D-85748 Garching, Germany

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2014年 / 124卷 / 05期

关键词：

Forward-backward stochastic differential equations; Stochastic control; Convex duality theory; STOCHASTIC DIFFERENTIAL-EQUATIONS; OPTIMAL INVESTMENT; DUALITY;

D O I：

10.1016/j.spa.2014.01.004

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we deal with the utility maximization problem with general utility functions including power utility with liability. We derive a new approach in which we reduce the resulting control problem to the study of a system of fully-coupled Forward-Backward Stochastic Differential Equations (FBSDEs) that promise to be accessible to numerical treatment. (c) 2014 Elsevier B.V. All rights reserved.

引用

页码：1813 / 1848

页数：36

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