Utility maximization with random horizon: a BSDE approach
Probability
2015-06-16 v3
Abstract
In this paper we study a utility maximization problem with random horizon and reduce it to the analysis of a specific BSDE, which we call BSDE with singular coefficients, when the support of the default time is assumed to be bounded. We prove existence and uniqueness of the solution for the equation under interest. Our results are illustrated by numerical simulations.
Cite
@article{arxiv.1503.02062,
title = {Utility maximization with random horizon: a BSDE approach},
author = {Monique Jeanblanc and Thibaut Mastrolia and Dylan Possamaï and Anthony Réveillac},
journal= {arXiv preprint arXiv:1503.02062},
year = {2015}
}