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

DOI10.1007/978-3-642-18412-3_14MaRDI QIDQ5198567zbMATHOpenAlexFDO

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 equationsstochastic controlinfinite horizonquadratic BSDEunbounded solutionrobust utility maximisation

Mathematics Subject Classification ID

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

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Cited in

(12)

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

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