Backward stochastic PDEs related to the utility maximization problem

DOI10.1515/GMJ.2010.038zbMath1204.91136arXiv0806.0240OpenAlexW3135032730MaRDI QIDQ3068156

Revaz Tevzadze, Michael Mania

Publication date: 13 January 2011

Published in: gmj (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.0240

zbMATH Keywords

incomplete marketssemimartingalebackward stochastic partial differential equationutility maximization problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Related Items (7)

On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions ⋮ Random Horizon Principal-Agent Problems ⋮ Consistent utility of investment and consumption: a forward/backward SPDE viewpoint ⋮ Forward-backward systems for expected utility maximization ⋮ On solutions to backward stochastic partial differential equations for Lévy processes ⋮ Connections between a system of forward-backward SDEs and backward stochastic PDEs related to the utility maximization problem ⋮ Portfolio optimization under model uncertainty and BSDE games

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