Connections between a system of Forward-Backward SDEs and Backward Stochastic PDEs related to the utility maximization problem
Probability
2018-02-06 v2
Abstract
Connections between a system of Forward-Backward SDEs and Backward Stochastic PDEs related to the utility maximiza- tion problem is established. Besides, we derive another version of FBSDE of the same problem and prove an existence of a solution
Keywords
Cite
@article{arxiv.1801.01011,
title = {Connections between a system of Forward-Backward SDEs and Backward Stochastic PDEs related to the utility maximization problem},
author = {Michael Mania and Revaz Tevzadze},
journal= {arXiv preprint arXiv:1801.01011},
year = {2018}
}