Dynamic Convex Duality in Constrained Utility Maximization

Preprint English OPEN
Li, Yusong; Zheng, Harry;
(2016)
  • Subject: Quantitative Finance - Mathematical Finance | 91G80, 93E20, 49N05, 49N15
    acm: MathematicsofComputing_NUMERICALANALYSIS | TheoryofComputation_ANALYSISOFALGORITHMSANDPROBLEMCOMPLEXITY
    arxiv: Mathematics::Optimization and Control

In this paper, we study a constrained utility maximization problem following the convex duality approach. After formulating the primal and dual problems, we construct the necessary and sufficient conditions for both the primal and dual problems in terms of FBSDEs plus a... View more
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