Backward stochastic partial differential equations related to utility maximization and hedging

DOI10.1007/s10958-008-9129-9zbMath1393.60070OpenAlexW2002246963MaRDI QIDQ2255961

Revaz Tevzadze, Michael Mania

Publication date: 18 February 2015

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-008-9129-9

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (12)

On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions ⋮ Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization ⋮ Black's Inverse Investment Problem and Forward Criteria with Consumption ⋮ BSDEs in utility maximization with BMO market price of risk ⋮ Utility indifference valuation for jump risky assets ⋮ 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 ⋮ Optimal hedging for fund and insurance managers with partially observable investment flows ⋮ Dynamically consistent investment under model uncertainty: the robust forward criteria ⋮ Pricing and hedging in incomplete markets with model uncertainty ⋮ Connections between a system of forward-backward SDEs and backward stochastic PDEs related to the utility maximization problem ⋮ Making mean-variance hedging implementable in a partially observable market ⋮ A polynomial scheme of asymptotic expansion for backward SDEs and option pricing

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