Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- Journal Article
Journal / seriesFinance and stochastics
SubjectBackward stochastic differential equations (BSDEs); Continuous filtration; Quadratic growth; Utility maximization; Portfolio constraints
NotesReceived 19 May 2006, Accepted 29 August 2008, Published online 6 November 2008.
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