Forward backward semimartingale systems for utility maximization

DOI10.1137/130941778MaRDI QIDQ5244629zbMATH OpenOpenAlexFDO

Authors Marina Santacroce, Barbara Trivellato

Publication date 27 March 2015

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/130941778

zbMATH Keywords

forward backward stochastic differential systemsemimartingale market modelutility maximization problem

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Auctions, bargaining, bidding and selling, and other market models (91B26) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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(11)

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