Utility maximization with random horizon: a BSDE approach - Archive ouverte HAL
Article Dans Une Revue International Journal of Theoretical and Applied Finance Année : 2015

Utility maximization with random horizon: a BSDE approach

Résumé

In this paper we study a utility maximization problem with random horizon and reduce it to the analysis of a specific BSDE, which we call BSDE with singular coefficients, when the support of the default time is assumed to be bounded. We prove existence and uniqueness of the solution for the equation under interest. Our results are illustrated by numerical simulations.
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Dates et versions

hal-01126684 , version 1 (06-03-2015)
hal-01126684 , version 2 (10-03-2015)
hal-01126684 , version 3 (10-06-2015)

Identifiants

Citer

Monique Jeanblanc, Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac. Utility maximization with random horizon: a BSDE approach. International Journal of Theoretical and Applied Finance, 2015, 18 (7), pp.1550045. ⟨10.1142/S0219024915500454⟩. ⟨hal-01126684v3⟩
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