Backward stochastic partial differential equations related to utility maximization and hedging

DOI10.1007/S10958-008-9129-9zbMath1393.60070OpenAlexW2002246963MaRDI QIDQ2255961

Revaz Tevzadze, Michael Mania

Publication date: 18 February 2015

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-008-9129-9

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (13)

A Martingale Approach to Optimal Portfolios with Jump-diffusions ⋮ On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions ⋮ Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization ⋮ Black's Inverse Investment Problem and Forward Criteria with Consumption ⋮ BSDEs in utility maximization with BMO market price of risk ⋮ Utility indifference valuation for jump risky assets ⋮ 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 ⋮ Optimal hedging for fund and insurance managers with partially observable investment flows ⋮ Dynamically consistent investment under model uncertainty: the robust forward criteria ⋮ Pricing and hedging in incomplete markets with model uncertainty ⋮ Connections between a system of forward-backward SDEs and backward stochastic PDEs related to the utility maximization problem ⋮ Making mean-variance hedging implementable in a partially observable market ⋮ A polynomial scheme of asymptotic expansion for backward SDEs and option pricing

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