BSDEs in utility maximization with BMO market price of risk

DOI10.1016/j.spa.2012.03.007zbMath1255.60094arXiv1107.0183OpenAlexW1995116006MaRDI QIDQ429302

Christoph Frei, Nicholas Westray, Markus Mocha

Publication date: 19 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.0183

zbMATH Keywords

quadratic BSDEsBMO market price of riskdynamic exponential momentspower utility maximization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Related Items (3)

44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 ⋮ New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations ⋮ ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL

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