Convergence results for the indifference value based on the stability of BSDEs

DOI10.1080/17442508.2011.653568zbMath1285.91148MaRDI QIDQ5411914

Christoph Frei

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.653568

zbMATH Keywords

stability of BSDEs; exponential utility; quadratic BSDE; indifference valuation; correlated Brownian motions; convergent constraints

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

91G80: Financial applications of other theories

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Cites Work

• Convexity bounds for BSDE solutions, with applications to indifference valuation
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Continuous exponential martingales and BMO
• Wijsman convergence: A survey
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• Explicit solutions of some utility maximization problems in incomplete markets
• Dynamic exponential utility indifference valuation
• Exponential utility indifference valuation in two Brownian settings with stochastic correlation