Utility maximization via decoupling fields
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Publication:2240471
DOI10.1214/20-AAP1569zbMath1476.49025arXiv1711.06033MaRDI QIDQ2240471
Alexander Fromm, Peter Imkeller
Publication date: 4 November 2021
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.06033
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic analysis (60H99) Existence of optimal solutions to problems involving randomness (49J55)
Related Items (3)
FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays ⋮ \(L^p\)-estimate for linear forward-backward stochastic differential equations ⋮ Time-Inconsistent Consumption-Investment Problems in Incomplete Markets under General Discount Functions
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