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BSDEs in Utility Maximization with BMO Market Price of Risk
BSDEs BMO Market Price of Risk
2011/7/20
This article studies quadratic semimartingale BSDEs arising in power utility maximization
when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sucient condi...
BSDEs in Utility Maximization with BMO Market Price of Risk
Quadratic BSDEs BMO Market Price of Risk Power Utility Maximization Dynamic Exponential Moments
2011/8/22
Abstract: This article studies quadratic semimartingale BSDEs arising in power utility maximization when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and suffi...