Horst, Ulrich Hu, Ying Imkeller, Peter Réveillac, Anthony Zhang, Jianing
Year of Publication:
SFB 649 discussion paper 2011-061
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).