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- W2591582749 abstract "We characterize a class of fully coupled forward backward stochastic differential equations in terms of optimal maximal sub-solutions of BSDEs. We present the application thereof in utility optimization with random endowment under probability and discounting uncertainty. We provide some explicit examples and show how to quantify the costs of incompleteness when using utility indifference pricing." @default.
- W2591582749 created "2017-03-16" @default.
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- W2591582749 date "2017-03-01" @default.
- W2591582749 modified "2023-09-27" @default.
- W2591582749 title "Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization under Probability and Discounting Uncertainty" @default.
- W2591582749 hasPublicationYear "2017" @default.
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