The Bellman equation for power utility maximization with semimartingales

DOI10.1214/11-AAP776zbMath1239.91165arXiv0912.1883OpenAlexW3097982674MaRDI QIDQ2428054

Marcel Nutz

Publication date: 20 April 2012

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

Full work available at URL: https://arxiv.org/abs/0912.1883

zbMATH Keywords

Bellman equationBSDEpower utilitysemimartingale characteristicsopportunity process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (15)

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