Advanced Search
MyIDEAS: Login to save this article or follow this journal

Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem

Contents:

Author Info

  • Marie-Amélie Morlais

    ()

Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://hdl.handle.net/10.1007/s00780-008-0079-3
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 13 (2009)
    Issue (Month): 1 (January)
    Pages: 121-150

    as in new window
    Handle: RePEc:spr:finsto:v:13:y:2009:i:1:p:121-150

    Contact details of provider:
    Web page: http://www.springerlink.com/content/101164/

    Order Information:
    Web: http://link.springer.de/orders.htm

    Related research

    Keywords: Backward stochastic differential equations (BSDEs); Continuous filtration; Quadratic growth; Utility maximization; Portfolio constraints; 91B28; 91B16; 60H10; C60; G11;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Ying Hu & Peter Imkeller & Matthias Muller, 2005. "Utility maximization in incomplete markets," Papers math/0508448, arXiv.org.
    2. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, Elsevier, vol. 3(4), pages 373-413, December.
    3. Michael Mania & Martin Schweizer, 2005. "Dynamic exponential utility indifference valuation," Papers math/0508489, arXiv.org.
    4. Sara Biagini & Marco Frittelli, 2005. "Utility maximization in incomplete markets for unbounded processes," Finance and Stochastics, Springer, Springer, vol. 9(4), pages 493-517, October.
    5. David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 11(4), pages 385-413.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2011. "Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization," Economics Papers from University Paris Dauphine 123456789/7101, Paris Dauphine University.
    2. Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2014. "Forward–backward systems for expected utility maximization," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 124(5), pages 1813-1848.
    3. Christoph Frei & Markus Mocha & Nicholas Westray, 2011. "BSDEs in Utility Maximization with BMO Market Price of Risk," Papers 1107.0183, arXiv.org, revised Feb 2012.
    4. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2011. "Time-Inconsistent Stochastic Linear--Quadratic Control," Papers 1111.0818, arXiv.org.
    5. Michael Mania & Marina Santacroce, 2010. "Exponential utility maximization under partial information," Finance and Stochastics, Springer, Springer, vol. 14(3), pages 419-448, September.
    6. Lukasz Delong, 2010. "Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management," Papers 1005.4417, arXiv.org, revised Jan 2011.
    7. Frei, Christoph & Mocha, Markus & Westray, Nicholas, 2012. "BSDEs in utility maximization with BMO market price of risk," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 122(6), pages 2486-2519.
    8. Markus Mocha & Nicholas Westray, 2011. "The Stability of the Constrained Utility Maximization Problem - A BSDE Approach," Papers 1107.0190, arXiv.org.
    9. Hanqing Jin & Yimin Yang, 2014. "Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target," Papers 1402.6760, arXiv.org.
    10. Michael Mania & Marina Santacroce, 2008. "Exponential Utility Maximization under Partial Information," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research 24-2008, ICER - International Centre for Economic Research.
    11. Bayraktar, Erhan & Kravitz, Ross, 2013. "Stability of exponential utility maximization with respect to market perturbations," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 123(5), pages 1671-1690.
    12. Réveillac, Anthony, 2012. "On the orthogonal component of BSDEs in a Markovian setting," Statistics & Probability Letters, Elsevier, Elsevier, vol. 82(1), pages 151-157.
    13. Covello, D. & Santacroce, M., 2010. "Power utility maximization under partial information: Some convergence results," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 120(10), pages 2016-2036, September.
    14. Lionnet, Arnaud, 2014. "Some results on general quadratic reflected BSDEs driven by a continuous martingale," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 124(3), pages 1275-1302.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:13:y:2009:i:1:p:121-150. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.