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dc.contributor.author
Hu, Ying
dc.contributor.author
Schweizer, Martin
dc.date.accessioned
2017-06-08T21:52:53Z
dc.date.available
2017-06-08T21:52:53Z
dc.date.issued
2009-10
dc.identifier.issn
1662-7504
dc.identifier.uri
http://hdl.handle.net/20.500.11850/15754
dc.description.abstract
We study a quadratic BSDE in a continuous filtration with an unbounded generator and an infinite time horizon. This equation comes from a stochastic control problem in the context of robust utility maximisation. We prove existence and uniqueness, in a suitable class, of a solution to the BSDE, and we show that the BSDE characterises the dynamic value process of the stochastic control problem.
dc.language.iso
en
dc.publisher
National Centre of Competence in Research Financial Valuation and Risk Management, ETH
dc.subject
backward stochastic differential equations
dc.subject
infinite horizon, quadratic BSDE
dc.subject
unbounded solution
dc.subject
stochastic control
dc.subject
robust utility maximisation
dc.title
Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem
dc.type
Working Paper
ethz.journal.title
Working paper
ethz.journal.issue
587
ethz.size
28 p.
ethz.notes
.
ethz.publication.place
Zürich
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.identifier.url
http://www.nccr-finrisk.uzh.ch/media/pdf/wp/WP587_D1.pdf
ethz.date.deposited
2017-06-08T21:53:13Z
ethz.source
ECIT
ethz.identifier.importid
imp59364c586e76090632
ethz.ecitpid
pub:27578
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-13T00:26:37Z
ethz.rosetta.lastUpdated
2018-10-01T07:22:54Z
ethz.rosetta.versionExported
true
ethz.COinS
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