Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem

DOI10.1007/s00780-008-0079-3zbMath1199.91188arXivmath/0610749OpenAlexW2145258154MaRDI QIDQ2271730

Publication date: 8 August 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0610749

zbMATH Keywords

utility maximization portfolio constraints quadratic growth backward stochastic differential equations (BSDEs)continuous filtration

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Portfolio theory (91G10)

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