IMKELLER, PETER; RÉVEILLAC, ANTHONY; ZHANG, JIANING - In: International Journal of Theoretical and Applied … 14 (2011) 05, pp. 635-667
In this paper we study BSDEs arising from a special class of backward stochastic partial differential equations (BSPDEs) that is intimately related to utility maximization problems with respect to arbitrary utility functions. After providing existence and uniqueness we discuss the numerical...
