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).

discrete schemes was worked-out in block forms to solve some stochastic time-dependent first order delay differential equations. It was observed that the scheme for step number k = 4 performed better and faster in terms of accuracy than the schemes for step number k = 3 and 2 respectively after...

In this paper, we established and carried-out the computational solution of some first order delay differential equations (DDEs) using hybrid extended backward differentiation formulae method in block forms without the application of interpolation techniques in determining the delay term. The...

In light of the recent financial and real economic crisis, it seems clear that macroeconomists need to better account for the influence of financial markets. This paper explores the consequences of treating the interaction between different financial markets, monetary policy, and the real...