Forward-backward systems for expected utility maximization
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 prob- lem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).
|Date of creation:||Oct 2011|
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- repec:dau:papers:123456789/7101 is not listed on IDEAS
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