On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions

@article{Mania2017OnRO,
  title={On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions},
  author={Michael Mania and Revaz Tevzadze},
  journal={SIAM J. Financial Math.},
  year={2017},
  volume={8},
  pages={483-503}
}
  • M. Mania, R. Tevzadze
  • Published 2017
  • Mathematics, Computer Science, Economics
  • SIAM J. Financial Math.
We study regularity properties of the dynamic value functions of primal and dual problems of optimal investing for utility functions defined on the whole real line. Relations between decomposition terms of value processes of primal and dual problems and between optimal solutions of basic and conditional utility maximization problems are established. These properties are used to show that the value function satisfies a corresponding backward stochastic partial differential equation. In the case… Expand
Forward BSDEs and backward SPDEs for utility maximization under endogenous pricing
We study the expected utility maximization problem of a large investor who is allowed to make transactions on a tradable asset in a financial market with endogenous permanent market impacts asExpand
Connections between a system of forward–backward SDEs and backward stochastic PDEs related to the utility maximization problem
  • M. Mania, R. Tevzadze
  • Mathematics, Economics
  • Transactions of A. Razmadze Mathematical Institute
  • 2018
Connections between a system of Forward-Backward SDEs and Backward Stochastic PDEs related to the utility maximiza- tion problem is established. Besides, we derive another version of FBSDE of theExpand

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