Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
dc.contributor.author
Morlais, Marie-Amélie
dc.date.accessioned
2017-06-08T23:50:41Z
dc.date.available
2017-06-08T23:50:41Z
dc.date.issued
2009-01
dc.identifier.issn
0949-2984
dc.identifier.issn
1432-1122
dc.identifier.other
10.1007/s00780-008-0079-3
dc.identifier.uri
http://hdl.handle.net/20.500.11850/20284
dc.language.iso
en
dc.publisher
Springer
dc.subject
Backward stochastic differential equations (BSDEs)
dc.subject
Continuous filtration
dc.subject
Quadratic growth
dc.subject
Utility maximization
dc.subject
Portfolio constraints
dc.title
Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
dc.type
Journal Article
ethz.journal.title
Finance and Stochastics
ethz.journal.volume
13
ethz.journal.issue
1
ethz.journal.abbreviated
Finance stoch.
ethz.pages.start
121
ethz.pages.end
150
ethz.notes
Received 19 May 2006, Accepted 29 August 2008, Published online 6 November 2008.
ethz.identifier.nebis
001712229
ethz.publication.place
Berlin
ethz.publication.status
published
ethz.date.deposited
2017-06-08T23:50:43Z
ethz.source
ECIT
ethz.identifier.importid
imp59364cb59c93d64990
ethz.ecitpid
pub:32752
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-12T14:08:13Z
ethz.rosetta.lastUpdated
2019-02-02T04:57:44Z
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true
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