Forward-backward systems for expected utility maximization
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Fri, 04/11/2011 14:15 |
Ulrich Horst (Berlin) |
Nomura Seminar  |
DH 1st floor SR |
| In this paper we deal with the utility maximization problem with a preference functional of expected utility type. 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). The talk is based on joint work with Ying Hu, Peter Imkeller, Anthony Reveillac and Jianing Zhang. | |||