Seminar series
Date
Fri, 04 Nov 2011
14:15
14:15
Location
DH 1st floor SR
Speaker
Ulrich Horst
Organisation
Berlin
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.