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arxiv: 1711.06033 · v1 · pith:ZW6CCMWKnew · submitted 2017-11-16 · 🧮 math.PR

Utility maximization via decoupling fields

classification 🧮 math.PR
keywords utilitycoupleddecouplingfbsdefieldsmaximizationproblemcentral
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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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