WIAS Preprint No. 1653, (2011)
Forward-backward systems for expected utility maximization
Authors
- Horst, Ulrich
- Hu, Ying
- Imkeller, Peter
- Réveillac, Anthony
- Zhang, Jianing
2010 Mathematics Subject Classification
- 60H10 93E20
Keywords
- Utility maximization, convex duality, maximum principle, coupled quadratic FBSDE, general utility functions
DOI
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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