英文标题：
《Characterization of Fully Coupled FBSDE in Terms of Portfolio
Optimization》
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作者：
Samuel Drapeau, Peng Luo, Dewen Xiong
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最新提交年份：
2019
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英文摘要：
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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中文摘要：
我们给出了基于全耦合正倒向随机微分方程的BSDE最优极大子解的一个验证和表征结果。我们举例说明了它在概率和折现不确定性下随机禀赋效用优化中的应用。我们用明确的例子说明了如何量化使用效用无差异定价时的不完全成本，以及如何找到递归效用的最优解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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