Forward-backward systems for expected utility maximization

Ulrich Horst, Ying Hu, Peter Imkeller and Anthony Reveillac

No SFB649DP2011-061, SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649

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 prob- lem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).

Keywords: utility; maximization (search for similar items in EconPapers)
JEL-codes: C61 D52 D53 (search for similar items in EconPapers)
Date: 2011-10
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