Convergence results for the indifference value based on the stability of BSDEs

DOI10.1080/17442508.2011.653568zbMath1285.91148OpenAlexW1966697486MaRDI QIDQ5411914

Christoph Frei

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.653568

zbMATH Keywords

stability of BSDEsexponential utilityquadratic BSDEindifference valuationcorrelated Brownian motionsconvergent constraints

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (4)

Stability of utility maximization in nonequivalent markets ⋮ A financial market with interacting investors: does an equilibrium exist? ⋮ 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability

Cites Work

• Convexity bounds for BSDE solutions, with applications to indifference valuation
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Continuous exponential martingales and BMO
• Wijsman convergence: A survey
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• Explicit solutions of some utility maximization problems in incomplete markets
• Dynamic exponential utility indifference valuation
• Exponential utility indifference valuation in two Brownian settings with stochastic correlation

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