Quadratic BSDEs Driven by a Continuous Martin- gale and Application to Utility Maximization Problem
نویسنده
چکیده
In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally in the problem of utility maximization with portfolio constraints. We first establish the existence and uniqueness for such BSDEs, and then we give an application to the utility maximization problem. Three cases of utility functions : the exponential, power and logarithmic ones, will be discussed.
منابع مشابه
Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally in the problem of utility maximization with portfolio constraints. We first establish the existence and uniqueness for such BSDEs, and then we give an application to the utility maximization problem. Three cases of utility functions: the exponential, power and logarithmic ones,...
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