Comparison principle approach to utility maximization

DOI10.4064/BC105-0-10zbMath1334.60119OpenAlexW2621354690MaRDI QIDQ5265540

V. Nzengang, Peter Imkeller

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

comparison principlebackward stochastic differential equationsutility maximization

Mathematics Subject Classification ID

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

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