On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions

DOI10.1137/16M1060558zbMATH Open1422.91662arXiv1604.00525OpenAlexW2735304251MaRDI QIDQ5280245FDOQ5280245

Authors: M. Mania, R. Tevzadze 

Publication date: 20 July 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1604.00525

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zbMATH Keywords

backward stochastic partial differential equationdualityutility maximizationvalue functioncomplete and incomplete markets

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)

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Cited In (2)

• Backward stochastic PDEs related to the utility maximization problem
• Connections between a system of forward-backward SDEs and backward stochastic PDEs related to the utility maximization problem

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