Forward-backward systems for expected utility maximization (Q401458): Difference between revisions

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+.2713
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+Backward-forward stochastic differential equations
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+INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES
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+Théorie probabiliste du contrôle des diffusions
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+An Introductory Approach to Duality in Optimal Stochastic Control
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+BSDE with quadratic growth and unbounded terminal value
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+Convex duality in constrained portfolio optimization
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+Utility maximization in incomplete markets with random endowment
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+Representation of the penalty term of dynamic concave utilities
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+Pricing Via Utility Maximization and Entropy
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+On securitization, market completion and equilibrium risk transfer
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+Utility maximization in incomplete markets
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+Solution of forward-backward stochastic differential equations
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+Optimal investment with random endowments in incomplete markets.
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+SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION
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+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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+Backward stochastic differential equations and partial differential equations with quadratic growth.
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+A note on the existence of the power investor's optimizer
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+Stability of utility-maximization in incomplete markets
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+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
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+Forward-backward stochastic differential equations and their applications
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+Representation theorems for backward stochastic differential equations
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+Exponential utility maximization under partial information
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+Backward stochastic PDEs related to the utility maximization problem
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+The Stability of the Constrained Utility Maximization Problem: A BSDE Approach
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+Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
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+The opportunity process for optimal consumption and investment with power utility
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+OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
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+Forward-backward stochastic differential equations and quasilinear parabolic PDEs
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+Backward stochastic differential equations and applications to optimal control
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+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
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+Q4435813
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+On exponential hedging and related quadratic backward stochastic differential equations
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+Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
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