Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem

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dc.creatorMorlais, Marie-Amelie
dc.date2006-10-25
dc.date2008-03-06
dc.date.accessioned2026-07-07T12:11:19Z
dc.date.available2026-07-07T12:11:19Z
dc.descriptionIn this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally when studying the problem of utility maximization with portfolio constraints. We first establish existence and uniqueness results for such BSDEs and then, we give an application to the utility maximization problem. Three cases of utility functions will be discussed: the exponential, power and logarithmic ones.
dc.identifierhttps://arxiv.org/abs/math/0610749
dc.identifierhttp://arxiv.org/abs/math/0610749
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210184
dc.subjectProbability
dc.subjectPortfolio Management
dc.subject91B28
dc.titleQuadratic BSDEs driven by a continuous martingale and application to utility maximization problem
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