The Bellman equation for power utility maximization with semimartingales

DOI10.1214/11-AAP776zbMath1239.91165arXiv0912.1883OpenAlexW3097982674MaRDI QIDQ2428054

Marcel Nutz

Publication date: 20 April 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.1883

zbMATH Keywords

Bellman equationBSDEpower utilitysemimartingale characteristicsopportunity process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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