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Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem

https://doi.org/10.1007/s00780-008-0079-3
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Merton, Robert C.
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The Existence of Absolutely Continuous Local Martingale Measures (1995)
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Utility Maximisation in Incomplete Markets
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Nonlinear Analysis, Differential Equations and Control
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BSDEs, weak convergence and homogenization of semilinear PDEs
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Continuous Exponential Martingales and BMO
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A solution approach to valuation with unhedgeable risks
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BSDE with quadratic growth and unbounded terminal value
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Utility maximization in incomplete markets for unbounded processes
inferredcites →https://doi.org/10.1016/0022-0531(71)90038-xopenalex-snapshot
Optimum consumption and portfolio rules in a continuous-time model
inferredcites →https://doi.org/10.1016/0022-0531(89)90067-7openalex-snapshot
Optimal consumption and portfolio policies when asset prices follow a diffusion process
inferredcites →https://doi.org/10.1111/1467-9965.00022openalex-snapshot
Backward Stochastic Differential Equations in Finance
inferredcites →https://doi.org/10.1111/1467-9965.00093openalex-snapshot
Pricing Via Utility Maximization and Entropy
inferredcites →https://doi.org/10.1111/1467-9965.00122openalex-snapshot
A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
inferredcites →https://doi.org/10.1201/b16332-12openalex-snapshot
Backward Stochastic Differential Equations
inferredcites →https://doi.org/10.1214/105051605000000188openalex-snapshot
Utility maximization in incomplete markets
inferredcites →https://doi.org/10.1214/105051605000000395openalex-snapshot
Dynamic exponential utility indifference valuation
inferredcites →https://doi.org/10.1214/105051606000000475openalex-snapshot
Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
inferredcites →https://doi.org/10.1214/aoap/1026915621openalex-snapshot
Utility based optimal hedging in incomplete markets
inferredcites →https://doi.org/10.1214/aoap/1177004600openalex-snapshot
The Existence of Absolutely Continuous Local Martingale Measures
inferredcites →https://doi.org/10.1214/aop/1019160253openalex-snapshot
Backward stochastic differential equations and partial differential equations with quadratic growth
inferredcites →https://doi.org/10.1214/ecp.v5-1025openalex-snapshot
A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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