Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem
Probability
2008-12-10 v3 Portfolio Management
Abstract
In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally when studying the problem of utility maximization with portfolio constraints. We first establish existence and uniqueness results for such BSDEs and then, we give an application to the utility maximization problem. Three cases of utility functions will be discussed: the exponential, power and logarithmic ones.
Cite
@article{arxiv.math/0610749,
title = {Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem},
author = {Marie-Amelie Morlais},
journal= {arXiv preprint arXiv:math/0610749},
year = {2008}
}