Forward-backward systems for expected utility maximization
Probability
2011-10-13 v1
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).
Cite
@article{arxiv.1110.2713,
title = {Forward-backward systems for expected utility maximization},
author = {Ulrich Horst and Ying Hu and Peter Imkeller and Anthony Réveillac and Jianing Zhang},
journal= {arXiv preprint arXiv:1110.2713},
year = {2011}
}