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

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