Utility maximization in incomplete markets

Annals of Applied Probability

Volumn 15, Issue 3, 2005, Pages 1691-1712

  Hu, Ying ^a   Imkeller, Peter ^b   Müller, Matthias ^b  

^a UNIVERSITÉ DE RENNES 1   (France)

^b HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Backward stochastic differential equation; Exponential utility; Financial market; Incomplete market; Logarithmic utility; Maximal utility; Power utility; Stochastic differential equation; Supermartingale

Indexed keywords

EID: 32144440334     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051605000000188     Document Type: Review

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