Forward-backward systems for expected utility maximization

DOI10.1016/j.spa.2014.01.004zbMath1329.60182arXiv1110.2713OpenAlexW2141987095MaRDI QIDQ401458

Jianing Zhang, Ulrich Horst, Peter Imkeller, Anthony Réveillac, Ying Hu

Publication date: 27 August 2014

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

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

zbMATH Keywords

stochastic controlutility maximizationforward-backward stochastic differential equationsconvex duality theory

Mathematics Subject Classification ID

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

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