Utility maximization with random horizon: a BSDE approach
classification
🧮 math.PR
keywords
bsdehorizonmaximizationrandomutilityanalysisapproachassumed
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In this paper we study a utility maximization problem with random horizon and reduce it to the analysis of a specific BSDE, which we call BSDE with singular coefficients, when the support of the default time is assumed to be bounded. We prove existence and uniqueness of the solution for the equation under interest. Our results are illustrated by numerical simulations.
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