Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 13 (2009)
Issue (Month): 1 (January)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 91B - - - - - -
- 91B - - - - - -
- 60H - - - - - -
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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- repec:ner:dauphi:urn:hdl:123456789/7101 is not listed on IDEAS
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- Michael Mania & Marina Santacroce, 2008. "Exponential Utility Maximization under Partial Information," ICER Working Papers - Applied Mathematics Series 24-2008, ICER - International Centre for Economic Research.
- Frei, Christoph & Mocha, Markus & Westray, Nicholas, 2012. "BSDEs in utility maximization with BMO market price of risk," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2486-2519.
- Covello, D. & Santacroce, M., 2010. "Power utility maximization under partial information: Some convergence results," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 2016-2036, September.
- Ying Hu & Hanqing Jin & Xun Yu Zhou, 2011. "Time-Inconsistent Stochastic Linear--Quadratic Control," Papers 1111.0818, arXiv.org.
- Réveillac, Anthony, 2012. "On the orthogonal component of BSDEs in a Markovian setting," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 151-157.
- Imkeller, Peter & Reveillac, 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.
- 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.
- 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.
- Markus Mocha & Nicholas Westray, 2011. "The Stability of the Constrained Utility Maximization Problem - A BSDE Approach," Papers 1107.0190, arXiv.org.
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