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arXiv · 1801.01011

Connections between a system of Forward-Backward SDEs and Backward Stochastic PDEs related to the utility maximization problem

Michael Mania·Revaz Tevzadze
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Abstract

Connections between a system of Forward-Backward SDEs and Backward Stochastic PDEs related to the utility maximiza- tion problem is established. Besides, we derive another version of FBSDE of the same problem and prove an existence of a solution

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Michael Mania, Revaz Tevzadze. 2018-01-03. Connections between a system of Forward-Backward SDEs and Backward Stochastic PDEs related to the utility maximization problem. https://arxiv.org/abs/1801.01011

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