Some new BSDE results for an infinite-horizon stochastic control problem

DOI10.1007/978-3-642-18412-3_14MaRDI QIDQ5198567zbMATH OpenOpenAlexFDO

Authors Ying Hu, Martin Schweizer

Publication date 8 August 2011

Published in Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-18412-3_14

zbMATH Keywords

backward stochastic differential equationsinfinite horizonquadratic BSDErobust utility maximisationstochastic controlunbounded solution

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Utility theory (91B16) Financial applications of other theories (91G80)

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Cited in

(14)

• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Infinite horizon BSDEs under consistent nonlinear expectations
• Second order backward SDE with random terminal time
• Generalized entropic risk measures and related BSDEs
• Utility maximization with random horizon: a BSDE approach
• Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
• Applications of an infinite horizon BSDE's to an impulse control problem
• Erratum. BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control
• BSDEs with Singular Terminal Condition and a Control Problem with Constraints
• Application of doubly reflected BSDEs to an impulse control problem
• Stability of backward stochastic differential equations: the general Lipschitz case
• Robust Control Problems of BSDEs Coupled with Value Functions
• Reflected BSDE driven by a marked point process with a convex/concave generator
• Long time behavior of optimal liquidation problems with semimartingale strategies and external flows

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