WIAS Preprint No. 1653, (2011)

Forward-backward systems for expected utility maximization



Authors

  • Horst, Ulrich
  • Hu, Ying
  • Imkeller, Peter
  • Réveillac, Anthony
  • Zhang, Jianing

2010 Mathematics Subject Classification

  • 60H10 93E20

Keywords

  • Utility maximization, convex duality, maximum principle, coupled quadratic FBSDE, general utility functions

Abstract

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).

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