Forward-backward systems for expected utility maximization

Simple item page
dc.bibliographicCitation.seriesTitleWIAS Preprintseng
dc.bibliographicCitation.volume1653
dc.contributor.authorHorst, Ulrich
dc.date.accessioned2016-03-24T17:38:42Z
dc.date.available2019-06-28T08:06:31Z
dc.date.issued2011
dc.description.abstractIn 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).eng
dc.description.versionpublishedVersioneng
dc.formatapplication/pdf
dc.identifier.issn0946-8633
dc.identifier.urihttps://doi.org/10.34657/2386
dc.identifier.urihttps://oa.tib.eu/renate/handle/123456789/2416
dc.language.isoengeng
dc.publisherBerlin : Weierstraß-Institut für Angewandte Analysis und Stochastikeng
dc.relation.issn0946-8633eng
dc.rights.licenseThis document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.eng
dc.rights.licenseDieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden.ger
dc.subject.ddc510eng
dc.subject.otherUtility maximizationeng
dc.subject.otherconvex dualityeng
dc.subject.othermaximum principleeng
dc.subject.othercoupled quadratic FBSDEeng
dc.subject.othergeneral utility functionseng
dc.titleForward-backward systems for expected utility maximizationeng
dc.typeReporteng
dc.typeTexteng
tib.accessRightsopenAccesseng
wgl.contributorWIASeng
wgl.subjectMathematikeng
wgl.typeReport / Forschungsbericht / Arbeitspapiereng
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
68854066X.pdf
Size:
287.45 KB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Mathematik
WIAS Preprints