Forward-backward systems for expected utility maximization

Details Forward-backward systems for expected utility maximization Forward-backward systems for expected utility maximization

2011-10-12

arxiv.org/abs/1110.2713v1

Mathematics

Probability

Scientific paper

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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