1. UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH.
- Author
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JEANBLANC, MONIQUE, MASTROLIA, THIBAUT, POSSAMAÏ, DYLAN, and RÉVEILLAC, ANTHONY
- Subjects
UTILITY theory ,STOCHASTIC differential equations ,COEFFICIENTS (Statistics) ,MATHEMATICAL bounds ,UNIQUENESS (Mathematics) ,EXISTENCE theorems ,COMPUTER simulation ,CREDIT risk - Abstract
In this paper, we study a utility maximization problem with random horizon and reduce it to the analysis of a specific backward stochastic differential equation (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. [ABSTRACT FROM AUTHOR]
- Published
- 2015
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