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arXiv · 1110.2713

Forward-backward systems for expected utility maximization

Ulrich Horst·Ying Hu·Peter Imkeller·Anthony Réveillac·Jianing Zhang
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Abstract

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).

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Ulrich Horst, Ying Hu, Peter Imkeller, Anthony Réveillac, Jianing Zhang. 2011-10-12. Forward-backward systems for expected utility maximization. https://arxiv.org/abs/1110.2713

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