Horst, Ulrich; Hu, Ying; Imkeller, Peter; Reveillac, Anthony - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization prob- lem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).