Comparison principle approach to utility maximization

DOI10.4064/BC105-0-10zbMATH Open1334.60119OpenAlexW2621354690MaRDI QIDQ5265540FDOQ5265540

V. Nzengang, P. 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

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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)

Cited In (3)

• Extension problem for principles of equivalent utility
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
• On comparison of the principles of equivalent utility and its applications

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