
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 publiéExternal document link
https://hal.archives-ouvertes.fr/hal-01245367Date
2015Journal name
International Journal of Theoretical and Applied FinanceVolume
18Number
7Publisher
World Scientific
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Show full item recordAbstract (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 riskRelated items
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