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dc.contributor.authorImkeller, Peter
dc.contributor.authorRéveillac, Anthony
dc.contributor.authorZhang, Jianing
dc.date.accessioned2011-10-04T10:40:15Z
dc.date.available2011-10-04T10:40:15Z
dc.date.issued2011
dc.identifier.issn0219-0249
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7101
dc.language.isoenen
dc.subjectstochastic optimal control
dc.subjectdistortion transformation
dc.subjectutility optimization
dc.subjectquadratic growth
dc.subjectBSDE
dc.subjectlogarithmic transformation
dc.subjectBSPDE
dc.subjectnumerical scheme
dc.subject.ddc519en
dc.subject.classificationjelC61en
dc.subject.classificationjelG11en
dc.subject.classificationjelD52en
dc.titleSolvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this paper we study BSDEs arising from a special class of backward stochastic partialdifferential equations (BSPDEs) that is intimately related to utility maximization problemswith respect to arbitrary utility functions. After providing existence and uniqueness we discuss the numerical realizability. Then we study utility maximization problems on incompletefinancial markets whose dynamics are governed by continuous semimartingales. Adaptingstandard methods that solve the utility maximization problem using BSDEs, we give solutions for the portfolio optimization problem which involve the delivery of a liability atmaturity. We illustrate our study by numerical simulations for selected examples. As abyproduct we prove existence of a solution to a very particular quadratic growth BSDE withunbounded terminal condition. This complements results on this topic obtained in [6, 7, 8].
dc.relation.isversionofjnlnameInternational Journal of Theoretical and Applied Finance
dc.relation.isversionofjnlvol14
dc.relation.isversionofjnlissue5
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages635-667
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherWorld Scientific
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2018-01-26T13:25:06Z


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