Characterization of fully coupled FBSDE in terms of portfolio optimization

DOI10.1214/20-EJP412zbMath1444.60068arXiv1703.02694OpenAlexW3005950819MaRDI QIDQ2184583

Dewen Xiong, Peng Luo, Samuel Drapeau

Publication date: 29 May 2020

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.02694

zbMATH Keywords

random endowmentfully coupled FBSDEprobability and discounting uncertaintyutility portfolio optimization

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic integral equations (60H20) Portfolio theory (91G10)

Related Items (2)

A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations ⋮ Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators

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