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20072026
most citedA Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions

48 citations · 195 across the 26 of their papers we have counts for

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Showing 2011 · math.PRShow all

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math.PR2011

Forward-backward systems for expected utility maximization

Ulrich Horst, Ying Hu, Peter Imkeller +2

In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with gener…