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