Forward-backward systems for expected utility maximization
classification
🧮 math.PR
keywords
utilitymaximizationforward-backwardgeneralproblemapproachdealderive
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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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