Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
Year of publication: |
2009
|
---|---|
Authors: | Morlais, Marie-Amélie |
Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 1, p. 121-150
|
Publisher: |
Springer |
Subject: | Backward stochastic differential equations (BSDEs) | Continuous filtration | Quadratic growth | Utility maximization | Portfolio constraints |
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