Utility maximization via decoupling fields

Abstract

We consider the utility maximization problem for a general class of utility functions defined on the real line. We rely on existing results which reduce the problem to a coupled forward–backward stochastic differential equation (FBSDE) and concentrate on showing existence and uniqueness of solution processes to this FBSDE. We use the method of decoupling fields for strongly coupled, multi-dimensional and possibly non-Lipschitz systems as the central technique in conducting the proofs.