Forward–backward systems for expected utility maximization

Ulrich Horst, Ying Hu, Peter Imkeller, Anthony Réveillac and Jianing Zhang

Stochastic Processes and their Applications, 2014, vol. 124, issue 5, 1813-1848

Abstract: In this paper we deal with the utility maximization problem with general utility functions including power utility with liability. We derive a new approach in which we reduce the resulting control problem to the study of a system of fully-coupled Forward–Backward Stochastic Differential Equations (FBSDEs) that promise to be accessible to numerical treatment.

Keywords: Forward–backward stochastic differential equations; Stochastic control; Convex duality theory (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (13)

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Working Paper: Forward-backward systems for expected utility maximization (2011)
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DOI: 10.1016/j.spa.2014.01.004

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