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Title:Forward-backward systems for expected utility maximization PDF Logo
Authors:Horst, Ulrich
Hu, Ying
Imkeller, Peter
Réveillac, Anthony
Zhang, Jianing
Issue Date:2011
Series/Report no.:SFB 649 discussion paper 2011-061
Abstract:In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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