We consider the problem of maximizing the expected utility of terminal wealth with a terminal random liability when the underlying asset price process is a continuous semimartingale. The optimal strategy is characterized in terms of a semimartingale forward backward system of equations. The results cover the cases of exponential, logarithmic and power utilities, which we analyze as illustrative example
We consider the economic problem of optimal consumption and investment with power utility. We study ...
In this paper we study BSDEs arising from a special class of backward stochastic partial differenti...
ii To Laura, whom I love. iv In this thesis we study the utility maximization problem for power util...
We consider the problem of maximizing the expected utility of terminal wealth with a terminal rando...
We study utility maximization problem for general utility functions using dynamic programming approa...
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...
In this paper we consider the power utility maximization problem under partial information in a cont...
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...
We adress the maximization problem of expected utility from terminal wealth. The special feature of ...
This paper solves the following problem of mathematical finance: to find a solution to the problem o...
This paper solves the following problem of mathematical finance: to find a solution to the problem o...
We consider the economic problem of optimal consumption and investment with power utility. We study ...
In this paper we study BSDEs arising from a special class of backward stochastic partial differenti...
ii To Laura, whom I love. iv In this thesis we study the utility maximization problem for power util...
We consider the problem of maximizing the expected utility of terminal wealth with a terminal rando...
We study utility maximization problem for general utility functions using dynamic programming approa...
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...
In this paper we consider the power utility maximization problem under partial information in a cont...
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...
We adress the maximization problem of expected utility from terminal wealth. The special feature of ...
This paper solves the following problem of mathematical finance: to find a solution to the problem o...
This paper solves the following problem of mathematical finance: to find a solution to the problem o...
We consider the economic problem of optimal consumption and investment with power utility. We study ...
In this paper we study BSDEs arising from a special class of backward stochastic partial differenti...
ii To Laura, whom I love. iv In this thesis we study the utility maximization problem for power util...