Comparison principle approach to utility maximization

DOI10.4064/BC105-0-10MaRDI QIDQ5265540zbMATH OpenOpenAlexFDO

Authors P. Imkeller, V. Nzengang

Publication date 28 July 2015

Published in Banach Center Publications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/bc105-0-10

zbMATH Keywords

backward stochastic differential equationscomparison principleutility maximization

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10) Utility theory (91B16) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

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Cited in

(4)

• Extension problem for principles of equivalent utility
• Exponential utility maximization in an incomplete market with defaults
• On comparison of the principles of equivalent utility and its applications
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets

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