Comparison principle approach to utility maximization

Peter Imkeller, and Victor Nzengang. "Comparison principle approach to utility maximization." Banach Center Publications 105.1 (2015): 143-158. <http://eudml.org/doc/286644>.

@article{PeterImkeller2015,
abstract = {We consider the problem of optimal investment for maximal expected utility in an incomplete market with trading strategies subject to closed constraints. Under the assumption that the underlying utility function has constant sign, we employ the comparison principle for BSDEs to construct a family of supermartingales leading to a necessary and sufficient condition for optimality. As a consequence, the value function is characterized as the initial value of a BSDE with Lipschitz growth.},
author = {Peter Imkeller, Victor Nzengang},
journal = {Banach Center Publications},
keywords = {utility maximization; backward stochastic differential equations; comparison principle},
language = {eng},
number = {1},
pages = {143-158},
title = {Comparison principle approach to utility maximization},
url = {http://eudml.org/doc/286644},
volume = {105},
year = {2015},
}

TY - JOUR
AU - Peter Imkeller
AU - Victor Nzengang
TI - Comparison principle approach to utility maximization
JO - Banach Center Publications
PY - 2015
VL - 105
IS - 1
SP - 143
EP - 158
AB - We consider the problem of optimal investment for maximal expected utility in an incomplete market with trading strategies subject to closed constraints. Under the assumption that the underlying utility function has constant sign, we employ the comparison principle for BSDEs to construct a family of supermartingales leading to a necessary and sufficient condition for optimality. As a consequence, the value function is characterized as the initial value of a BSDE with Lipschitz growth.
LA - eng
KW - utility maximization; backward stochastic differential equations; comparison principle
UR - http://eudml.org/doc/286644
ER -