On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions

DOI10.1137/16M1060558zbMath1422.91662arXiv1604.00525OpenAlexW2735304251MaRDI QIDQ5280245

Michael Mania, Revaz Tevzadze

Publication date: 20 July 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.00525

zbMATH Keywords

dualityvalue functionutility maximizationbackward stochastic partial differential equationcomplete and incomplete markets

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)

Related Items (1)

Connections between a system of forward-backward SDEs and backward stochastic PDEs related to the utility maximization problem

Cites Work

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• An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE
• Backward stochastic PDEs related to the utility maximization problem
• The stochastic Fubini theorem revisited
• On the Existence of Minimax Martingale Measures
• Backward Stochastic PDE and Imperfect Hedging

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