Utility maximization via decoupling fields

DOI10.1214/20-AAP1569zbMath1476.49025arXiv1711.06033MaRDI QIDQ2240471

Alexander Fromm, Peter Imkeller

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.06033

zbMATH Keywords

optimal stochastic controldecoupling fieldforward backward stochastic differential equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic analysis (60H99) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (3)

FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays ⋮ \(L^p\)-estimate for linear forward-backward stochastic differential equations ⋮ Time-Inconsistent Consumption-Investment Problems in Incomplete Markets under General Discount Functions

Cites Work

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