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).

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 problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).

We consider financial markets with agents exposed to an external source of risk which cannot be hedged through investments on the capital market alone. The sources of risk we think of may be weather and climate. Therefore we face a typical example of an incomplete financial market. We design a...

To evaluate consumers willingness to pay (WTP) for Washington apples, the effects of firmness and sweetness as the representative sensory attributes are investigated in addition to those of consumer demographics and preferences. A tasting survey was conducted in Portland, Oregon on two varieties...

We study a quadratic BSDE in a continuous filtration with an unbounded generatorand an infinite time horizon. This equation comes from a stochasticcontrol problem in the context of robust utility maximisation.[...]

In this paper, we discuss the solvability of backward stochastic differential equations(BSDEs) with superquadratic generators. We first prove that given a superquadraticgenerator, there exists a bounded terminal value, such that the associated BSDEdoes not admit any bounded solution. On the...

In this paper we deal with the utility maximization problem with general utility functions including power utility with liability. We derive a new approach in which we reduce the resulting control problem to the study of a system of fully-coupled Forward–Backward Stochastic Differential...