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
In this paper we consider the power utility maximization problem under partial information in a cont...
This thesis is dedicated to the study of backward stochastic differential equations (BSDEs) and thei...
We present various versions of the maximum principle for optimal control of forward-backward SDEs wi...
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...
Connections between a system of Forward–Backward SDEs derived in Horst et al., (2014) and Backward S...
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 a general utility function. We deri...
In this paper we deal with the utility maximization problem with a general utility function. We deri...
We consider the problem of maximizing the expected utility of terminal wealth with a terminal random...
We consider the problem of maximizing the expected utility of terminal wealth with a terminal rando...
In this paper we study BSDEs arising from a special class of backward stochastic partial differenti...
In this paper we study BSDEs arising from a special class of backward stochastic partial differentia...
In this paper we consider the power utility maximization problem under partial information in a cont...
This thesis is dedicated to the study of backward stochastic differential equations (BSDEs) and thei...
We present various versions of the maximum principle for optimal control of forward-backward SDEs wi...
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...
Connections between a system of Forward–Backward SDEs derived in Horst et al., (2014) and Backward S...
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 a general utility function. We deri...
In this paper we deal with the utility maximization problem with a general utility function. We deri...
We consider the problem of maximizing the expected utility of terminal wealth with a terminal random...
We consider the problem of maximizing the expected utility of terminal wealth with a terminal rando...
In this paper we study BSDEs arising from a special class of backward stochastic partial differenti...
In this paper we study BSDEs arising from a special class of backward stochastic partial differentia...
In this paper we consider the power utility maximization problem under partial information in a cont...
This thesis is dedicated to the study of backward stochastic differential equations (BSDEs) and thei...
We present various versions of the maximum principle for optimal control of forward-backward SDEs wi...