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Persistent link: https://www.econbiz.de/10009467038
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).
Persistent link: https://www.econbiz.de/10009467123