BSDEs in utility maximization with BMO market price of risk

DOI10.1016/j.spa.2012.03.007zbMath1255.60094arXiv1107.0183MaRDI QIDQ429302

Christoph Frei, Markus Mocha, Nicholas Westray

Publication date: 19 June 2012

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

Full work available at URL: https://arxiv.org/abs/1107.0183

zbMATH Keywords

quadratic BSDEs; BMO market price of risk; dynamic exponential moments; power utility maximization

Mathematics Subject Classification ID

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

91G80: Financial applications of other theories

Related Items

ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL, New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations, 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010

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