Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
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References listed on IDEAS
- David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 385-413.
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More about this item
KeywordsBackward stochastic differential equations (BSDEs); Continuous filtration; Quadratic growth; Utility maximization; Portfolio constraints; 91B28; 91B16; 60H10; C60; G11;
- 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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