Utility maximization via decoupling fields
Probability
2017-11-17 v1
Abstract
We consider the utility maximization problem for a general class of utility functions defined on the real line. We rely on existing results which reduce the problem to a coupled forward-backward stochastic differential equation (FBSDE) and concentrate on showing existence and uniqueness of solution processes to this FBSDE. We use the method of decoupling fields for strongly coupled, multi-dimensional and possibly non-Lipschitz systems as the central technique in conducting the proofs.
Cite
@article{arxiv.1711.06033,
title = {Utility maximization via decoupling fields},
author = {Alexander Fromm and Peter Imkeller},
journal= {arXiv preprint arXiv:1711.06033},
year = {2017}
}