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arXiv · 1711.06033

Utility maximization via decoupling fields

Alexander Fromm·Peter Imkeller
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Abstract

We consider the utility maximization problem for a general class of utility functions defined on the real line. We rely on existing results which reduce the problem to a coupled forward-backward stochastic differential equation (FBSDE) and concentrate on showing existence and uniqueness of solution processes to this FBSDE. We use the method of decoupling fields for strongly coupled, multi-dimensional and possibly non-Lipschitz systems as the central technique in conducting the proofs.

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Alexander Fromm, Peter Imkeller. 2017-11-16. Utility maximization via decoupling fields. https://arxiv.org/abs/1711.06033

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