{"title":"与效用最大化问题相关的前向后向随机偏微分方程系统与后向随机偏微分方程系统之间的联系","authors":"Michael Mania , Revaz Tevzadze","doi":"10.1016/j.trmi.2018.08.003","DOIUrl":null,"url":null,"abstract":"<div><p>Connections between a system of Forward–Backward SDEs derived in Horst et al., (2014) and Backward Stochastic PDEs (Mania and Tevzadze, 2010) related to the utility maximization problem are established. Besides, we derive another version of Forward–Backward SDE of the same problem and prove the existence of solution.</p></div>","PeriodicalId":43623,"journal":{"name":"Transactions of A Razmadze Mathematical Institute","volume":"172 3","pages":"Pages 429-439"},"PeriodicalIF":0.3000,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.trmi.2018.08.003","citationCount":"0","resultStr":"{\"title\":\"Connections between a system of forward–backward SDEs and backward stochastic PDEs related to the utility maximization problem\",\"authors\":\"Michael Mania , Revaz Tevzadze\",\"doi\":\"10.1016/j.trmi.2018.08.003\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Connections between a system of Forward–Backward SDEs derived in Horst et al., (2014) and Backward Stochastic PDEs (Mania and Tevzadze, 2010) related to the utility maximization problem are established. Besides, we derive another version of Forward–Backward SDE of the same problem and prove the existence of solution.</p></div>\",\"PeriodicalId\":43623,\"journal\":{\"name\":\"Transactions of A Razmadze Mathematical Institute\",\"volume\":\"172 3\",\"pages\":\"Pages 429-439\"},\"PeriodicalIF\":0.3000,\"publicationDate\":\"2018-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1016/j.trmi.2018.08.003\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Transactions of A Razmadze Mathematical Institute\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2346809218300928\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"MATHEMATICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Transactions of A Razmadze Mathematical Institute","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2346809218300928","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MATHEMATICS","Score":null,"Total":0}
引用次数: 0
摘要
在Horst et al.，(2014)中导出的前向-后向随机偏微分方程系统与与效用最大化问题相关的后向随机偏微分方程(Mania and Tevzadze, 2010)之间建立了联系。此外，我们还导出了同一问题的另一个版本的正向后SDE，并证明了解的存在性。
Connections between a system of forward–backward SDEs and backward stochastic PDEs related to the utility maximization problem
Connections between a system of Forward–Backward SDEs derived in Horst et al., (2014) and Backward Stochastic PDEs (Mania and Tevzadze, 2010) related to the utility maximization problem are established. Besides, we derive another version of Forward–Backward SDE of the same problem and prove the existence of solution.
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