Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem

Ying Hu () and Martin Schweizer ()
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Ying Hu: Université Rennes 1, IRMAR
Martin Schweizer: ETH Zürich, Departement Mathematik

Chapter Chapter 14 in Advanced Mathematical Methods for Finance, 2011, pp 367-395 from Springer

Abstract: Abstract We study in a continuous filtration a quadratic BSDE with an unbounded generator and an infinite time horizon. This equation comes from a stochastic control problem in the context of robust utility maximisation. We prove the existence and uniqueness, in a suitable class, of a solution to the BSDE, and we show that the BSDE characterises the dynamic value process of the stochastic control problem.

Keywords: Backward stochastic differential equations; Infinite horizon; Quadratic BSDE; Unbounded solution; Stochastic control; Robust utility maximisation; 60H10; 60H20; 60G44; 91B16 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-18412-3_14

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DOI: 10.1007/978-3-642-18412-3_14

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