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Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem

In: Advanced Mathematical Methods for Finance

Author

Listed:
  • Ying Hu

    (Université Rennes 1, IRMAR)

  • Martin Schweizer

    (ETH Zürich, Departement Mathematik
    Swiss Finance Institute)

Abstract

We study in a continuous filtration a quadratic BSDE with an unbounded generator and an infinite time horizon. This equation comes from a stochastic control problem in the context of robust utility maximisation. We prove the existence and uniqueness, in a suitable class, of a solution to the BSDE, and we show that the BSDE characterises the dynamic value process of the stochastic control problem.

Suggested Citation

  • Ying Hu & Martin Schweizer, 2011. "Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 367-395, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-18412-3_14
    DOI: 10.1007/978-3-642-18412-3_14
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