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

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

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

91B16: Utility theory

91G10: Portfolio theory

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