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- W3121849481 abstract "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." @default.
- W3121849481 created "2021-02-01" @default.
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- W3121849481 date "2017-03-08" @default.
- W3121849481 modified "2023-09-27" @default.
- W3121849481 title "Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization under Probability and Discounting Uncertainty" @default.
- W3121849481 hasPublicationYear "2017" @default.
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