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 problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE)
In the first part of this thesis we develop an investment consumption model with convex transaction ...
We consider the problem of maximizing the expected utility of terminal wealth with a terminal random...
We give an explicit PDE characterization for the solution of a robust utilitymaximization problem in...
In this paper we deal with the utility maximization problem with a general utility function. We deri...
In this paper we deal with the utility maximization problem with a general utility function. We deri...
In this paper we deal with the utility maximization problem with a general utility function. We deri...
In this paper we deal with the utility maximization problem with a general utility function. We deri...
International audienceIn this paper we deal with the utility maximization problem with a general uti...
In this paper we deal with the utility maximization problem with a general utility function. We deri...
In this paper we deal with the utility maximization problem with general utility functions including...
We study utility maximization problem for general utility functions using dynamic programming approa...
International audienceIn this paper, we will study some Backward Stochastic Differential Equations (...
Connections between a system of Forward–Backward SDEs derived in Horst et al., (2014) and Backward S...
This thesis is dedicated to the study of backward stochastic differential equations (BSDEs) and thei...
In this paper we study BSDEs arising from a special class of backward stochastic partial differentia...
In the first part of this thesis we develop an investment consumption model with convex transaction ...
We consider the problem of maximizing the expected utility of terminal wealth with a terminal random...
We give an explicit PDE characterization for the solution of a robust utilitymaximization problem in...
In this paper we deal with the utility maximization problem with a general utility function. We deri...
In this paper we deal with the utility maximization problem with a general utility function. We deri...
In this paper we deal with the utility maximization problem with a general utility function. We deri...
In this paper we deal with the utility maximization problem with a general utility function. We deri...
International audienceIn this paper we deal with the utility maximization problem with a general uti...
In this paper we deal with the utility maximization problem with a general utility function. We deri...
In this paper we deal with the utility maximization problem with general utility functions including...
We study utility maximization problem for general utility functions using dynamic programming approa...
International audienceIn this paper, we will study some Backward Stochastic Differential Equations (...
Connections between a system of Forward–Backward SDEs derived in Horst et al., (2014) and Backward S...
This thesis is dedicated to the study of backward stochastic differential equations (BSDEs) and thei...
In this paper we study BSDEs arising from a special class of backward stochastic partial differentia...
In the first part of this thesis we develop an investment consumption model with convex transaction ...
We consider the problem of maximizing the expected utility of terminal wealth with a terminal random...
We give an explicit PDE characterization for the solution of a robust utilitymaximization problem in...
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