Exponential utility maximization in an incomplete market with defaults

DOI10.1214/EJP.v16-918zbMath1245.49039OpenAlexW2025983864MaRDI QIDQ428526

Thomas Lim, Marie-Claire Quenez

Publication date: 22 June 2012

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ejp.v16-918

zbMATH Keywords

dynamic programmingincomplete marketbackward stochastic differential equation (BSDE)optimal investmentexponential utilitydefault time

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

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