Backward Stochastic PDEs related to the utility maximization problem

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dc.creatorMania, M.
dc.creatorTevzadze, R.
dc.date2008-06-02
dc.date.accessioned2026-07-07T12:10:33Z
dc.date.available2026-07-07T12:10:33Z
dc.descriptionWe study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are described by an $R^d$-valued continuous semimartingale. Under some regularity assumptions we derive backward stochastic partial differential equation (BSPDE) related directly to the primal problem and show that the strategy is optimal if and only if the corresponding wealth process satisfies a certain forward-SDE. As examples the cases of power, exponential and logarithmic utilities are considered.
dc.description30 pages
dc.identifierhttps://arxiv.org/abs/0806.0240
dc.identifierhttp://arxiv.org/abs/0806.0240
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209966
dc.subjectProbability
dc.subjectOptimization and Control
dc.subjectComputational Finance
dc.subjectPricing of Securities
dc.subject90A09,60H30, 90C39
dc.titleBackward Stochastic PDEs related to the utility maximization problem
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