Forward Backward Semimartingale Systems for Utility Maximization

DOI10.1137/130941778zbMath1325.60095OpenAlexW2094199011MaRDI QIDQ5244629

Marina Santacroce, Barbara Trivellato

Publication date: 27 March 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130941778

zbMATH Keywords

utility maximization problemsemimartingale market modelforward backward stochastic differential system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (6)

Dynamic convex duality in constrained utility maximization ⋮ Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire ⋮ Characterization of fully coupled FBSDE in terms of portfolio optimization ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ Sensitivity analysis of the utility maximisation problem with respect to model perturbations ⋮ Connections between a system of forward-backward SDEs and backward stochastic PDEs related to the utility maximization problem

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