The Stability of the Constrained Utility Maximization Problem: A BSDE Approach

DOI10.1137/120862016zbMath1285.60067arXiv1107.0190OpenAlexW2963798260MaRDI QIDQ2873121

Nicholas Westray, Markus Mocha

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.0190

zbMATH Keywords

stabilityduality theoryutility maximizationquadratic semimartingale BSDEs

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stability of control systems (93D99)

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