Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem

DOI10.1007/978-3-642-18412-3_14zbMath1230.91202OpenAlexW84052466MaRDI QIDQ5198567

Ying Hu, Martin Schweizer

Publication date: 8 August 2011

Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-18412-3_14

zbMATH Keywords

infinite horizonstochastic controlbackward stochastic differential equationsunbounded solutionquadratic BSDErobust utility maximisation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Stochastic integral equations (60H20)

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