Utility maximization via decoupling fields (Q2240471)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Utility maximization via decoupling fields |
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Utility maximization via decoupling fields (English)
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4 November 2021
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In this paper, the authors investigate the utility maximization problem by reducing the problem to a coupled forward-backward stochastic differential equation. The main results are proved by using the method of decoupling fields for strongly coupled, multi-dimensional and possibly non-Lipschitz systems.
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decoupling field
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forward backward stochastic differential equation
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optimal stochastic control
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