2011-10-14Buch DOI: 10.18452/4349
Forward-backward systems for expected utility maximization
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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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 61, SFB 649 Papers, ISSN:1860-5664
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