Forward-backward systems for expected utility maximization

DOI10.1016/J.SPA.2014.01.004zbMATH Open1329.60182arXiv1110.2713OpenAlexW2141987095MaRDI QIDQ401458FDOQ401458

Authors: Ulrich Horst, Ying Hu, P. Imkeller, Anthony Réveillac, Jianing Zhang 

Publication date: 27 August 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).

Full work available at URL: https://arxiv.org/abs/1110.2713

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zbMATH Keywords

stochastic controlutility maximizationforward-backward stochastic differential equationsconvex duality theory

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited In (28)

• Multidimensional Markovian FBSDEs with super-quadratic growth
• Robust Portfolio Choice and Indifference Valuation
• Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
• Utility maximization via decoupling fields
• Title not available (Why is that?)
• A comparison result for FBSDE with applications to decisions theory
• On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions
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• Sensitivity analysis of the utility maximisation problem with respect to model perturbations
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• Optimal sharing rule for a household with a portfolio management problem
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