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Utility maximization with random horizon: a BSDE approach

Jeanblanc, Monique; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony (2015), Utility maximization with random horizon: a BSDE approach, International Journal of Theoretical and Applied Finance, 18, 7. 10.1142/S0219024915500454

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Article accepté pour publication ou publié
External document link
https://hal.archives-ouvertes.fr/hal-01245367
Date
2015
Journal name
International Journal of Theoretical and Applied Finance
Volume
18
Number
7
Publisher
World Scientific
Publication identifier
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Author(s)
Jeanblanc, Monique
Mastrolia, Thibaut
Possamaï, Dylan
Réveillac, Anthony
Abstract (EN)
In this paper, we study a utility maximization problem with random horizon and reduce it to the analysis of a specific backward stochastic differential equation (BSDE), which we call BSDE with singular coefficients, when the support of the default time is assumed to be bounded. We prove existence and uniqueness of the solution for the equation under interest. Our results are illustrated by numerical simulations.
Subjects / Keywords
quadratic BSDEs; enlargement of filtration; credit risk