On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions
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Abstract: We study regularity properties of the dynamic value functions of primal and dual problems of optimal investing for utility functions defined on the whole real line. Relations between decomposition terms of value processes of primal and dual problems and between optimal solutions of basic and conditional utility maximization problems are established. These properties are used to show that the value function satisfies a corresponding backward stochastic partial differential equation. In the case of complete markets we give conditions on the utility function when this equation admits a solution.
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Cited in
(5)- On the properties of dynamic value functions in the problem of optimal investment in incomplete markets
- Regularity properties in a state-constrained expected utility maximization problem
- Connections between a system of forward-backward SDEs and backward stochastic PDEs related to the utility maximization problem
- Backward stochastic PDEs related to the utility maximization problem
- On regularity of dynamic value function related to the utility maximization problem
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