Add to ORKGWe study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are described by an Rd-valued continuous semimartingale. Under some regularity assumptions we derive backward stochastic partial differential equation (BSPDE) related directly to the primal problem and show that the strategy is optimal if and only if the corresponding wealth process satisfies a certain forward-SDE. As examples the cases of power, exponential and logarithmic utilities are consideredBackward stochastic partial dierential equation, utility maximization problem, semimartingale, incomplete markets
We consider the exponential utility maximization problem under partial information. The underlying a...
AbstractThe effectiveness of utility-maximization techniques for portfolio management relies on our ...
We consider the problem of maximizing the expected utility of terminal wealth with a terminal random...
In this paper we study BSDEs arising from a special class of backward stochastic partial differentia...
In this paper we study BSDEs arising from a special class of backward stochastic partial differenti...
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...
AbstractIn this paper we consider the power utility maximization problem under partial information i...
International audienceIn this paper, we will study some Backward Stochastic Differential Equations (...
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 adress the maximization problem of expected utility from terminal wealth. The special feature of ...
In this paper we consider the power utility maximization problem under partial information in a cont...
We consider the exponential utility maximization problem under partial information. The underlying a...
AbstractThe effectiveness of utility-maximization techniques for portfolio management relies on our ...
We consider the problem of maximizing the expected utility of terminal wealth with a terminal random...
In this paper we study BSDEs arising from a special class of backward stochastic partial differentia...
In this paper we study BSDEs arising from a special class of backward stochastic partial differenti...
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...
AbstractIn this paper we consider the power utility maximization problem under partial information i...
International audienceIn this paper, we will study some Backward Stochastic Differential Equations (...
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 adress the maximization problem of expected utility from terminal wealth. The special feature of ...
In this paper we consider the power utility maximization problem under partial information in a cont...
We consider the exponential utility maximization problem under partial information. The underlying a...
AbstractThe effectiveness of utility-maximization techniques for portfolio management relies on our ...
We consider the problem of maximizing the expected utility of terminal wealth with a terminal random...
