Forward-backward systems for expected utility maximization
By Ulrich Horst, Ying Hu, Peter Imkeller, Anthony R'eveillac, Jianing Zhang. 2011
72 citations recorded by the source corpus.
In this paper we deal with the utility maximization problem with general utility functions including power utility with liability. We derive a new approach in which we reduce the resulting control problem to the study of a system of fully-coupled Forward–Backward Stochastic Differential Equations (FBSDEs) that promise to be accessible to numerical treatment.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/552ffb50d136f908ce8012f2d07413d7ef2280f1
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In Economics and Econometrics
In Finance
In Management Science and Operations Research
Citations in the corpus
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (2015, background): “This would be a fairly non-standard FBSDE however, accounting in particular for the “forward-backward initial condition” W0 = Π ∗ 0 of W (see Horst et al. (2011) for related technical issues).”