Forward-backward systems for expected utility maximization

4 November 2011
14:15
Ulrich Horst
Abstract
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.