1 results
Search Results
Now showing 1 - 1 of 1
Loading...
Item
Forward-backward systems for expected utility maximization
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).