Connections between a system of Forward-Backward SDEs and Backward Stochastic PDEs related to the utility maximization problem
Abstract
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
- Publication:
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arXiv e-prints
- Pub Date:
- January 2018
- DOI:
- 10.48550/arXiv.1801.01011
- arXiv:
- arXiv:1801.01011
- Bibcode:
- 2018arXiv180101011M
- Keywords:
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- Mathematics - Probability