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Type: Text × Subject: Utility maximization ×

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    Forward-backward systems for expected utility maximization
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2011) Horst, Ulrich
    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).