Arbeitspapier
Forward-backward systems for expected utility maximization
In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).
- Language
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Englisch
- Bibliographic citation
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Series: SFB 649 Discussion Paper ; No. 2011-061
- Classification
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Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Incomplete Markets
General Equilibrium and Disequilibrium: Financial Markets
- Subject
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Erwartungsnutzen
Mathematische Optimierung
Analysis
Stochastischer Prozess
Theorie
- Event
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Geistige Schöpfung
- (who)
-
Horst, Ulrich
Hu, Ying
Imkeller, Peter
Réveillac, Anthony
Zhang, Jianing
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
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Berlin
- (when)
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2011
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Horst, Ulrich
- Hu, Ying
- Imkeller, Peter
- Réveillac, Anthony
- Zhang, Jianing
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2011
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