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2020 Characterization of fully coupled FBSDE in terms of portfolio optimization
Samuel Drapeau, Peng Luo, Dewen Xiong
Electron. J. Probab. 25: 1-26 (2020). DOI: 10.1214/20-EJP412

Abstract

We provide a verification and characterization result of optimal maximal sub-solutions of BSDEs in terms of fully coupled forward backward stochastic differential equations. We illustrate the application thereof in utility optimization with random endowment under probability and discounting uncertainty. We show with explicit examples how to quantify the costs of incompleteness when using utility indifference pricing, as well as a way to find optimal solutions for recursive utilities.

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Samuel Drapeau. Peng Luo. Dewen Xiong. "Characterization of fully coupled FBSDE in terms of portfolio optimization." Electron. J. Probab. 25 1 - 26, 2020. https://doi.org/10.1214/20-EJP412

Information

Received: 22 January 2018; Accepted: 5 January 2020; Published: 2020
First available in Project Euclid: 15 February 2020

zbMATH: 1444.60068
MathSciNet: MR4073685
Digital Object Identifier: 10.1214/20-EJP412

Subjects:
Primary: 60H20, 91B16, 91G10, 93E20

JOURNAL ARTICLE
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