BSDEs in utility maximization with BMO market price of risk

DOI10.1016/j.spa.2012.03.007zbMath1255.60094arXiv1107.0183MaRDI QIDQ429302

Christoph Frei, Nicholas Westray, Markus Mocha

Publication date: 19 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.0183

zbMATH Keywords

quadratic BSDEs; BMO market price of risk; dynamic exponential moments; power utility maximization

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G80: Financial applications of other theories

Related Items

ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL, New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations, 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010
• On measure solutions of backward stochastic differential equations
• Harmonic analysis of stochastic equations and backward stochastic differential equations
• On exponential hedging and related quadratic backward stochastic differential equations
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• Valeurs prises par les martingales locales continues à un instant donne
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Continuous exponential martingales and BMO
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• The opportunity process for optimal consumption and investment with power utility
• A financial market with interacting investors: does an equilibrium exist?
• Backward stochastic partial differential equations related to utility maximization and hedging
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• The Bellman equation for power utility maximization with semimartingales
• BSDE with quadratic growth and unbounded terminal value
• Stability of utility-maximization in incomplete markets
• Utility maximization in incomplete markets
• Dynamic exponential utility indifference valuation
• Pricing Via Utility Maximization and Entropy
• The Stability of the Constrained Utility Maximization Problem: A BSDE Approach