BSDEs in utility maximization with BMO market price of risk
From MaRDI portal
Publication:429302
DOI10.1016/j.spa.2012.03.007zbMath1255.60094arXiv1107.0183OpenAlexW1995116006MaRDI QIDQ429302
Christoph Frei, Nicholas Westray, Markus Mocha
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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)
Related Items (3)
44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 ⋮ New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations ⋮ ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
- 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010
- On measure solutions of backward stochastic differential equations
- Harmonic analysis of stochastic equations and backward stochastic differential equations
- On exponential hedging and related quadratic backward stochastic differential equations
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Valeurs prises par les martingales locales continues à un instant donne
- The fundamental theorem of asset pricing for unbounded stochastic processes
- Continuous exponential martingales and BMO
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- The opportunity process for optimal consumption and investment with power utility
- A financial market with interacting investors: does an equilibrium exist?
- Backward stochastic partial differential equations related to utility maximization and hedging
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- The Bellman equation for power utility maximization with semimartingales
- BSDE with quadratic growth and unbounded terminal value
- Stability of utility-maximization in incomplete markets
- Utility maximization in incomplete markets
- Dynamic exponential utility indifference valuation
- Pricing Via Utility Maximization and Entropy
- The Stability of the Constrained Utility Maximization Problem: A BSDE Approach
This page was built for publication: BSDEs in utility maximization with BMO market price of risk
