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UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH

Université d’Évry-Val-d’Essonne, LaMME UMR CNRS 8071, IBGBI, 23 Boulevard de France, 91037 Evry Cedex, France

E-mail Address: monique.jeanblanc@univ-evry.fr

Université Paris Dauphine, CEREMADE UMR CNRS 7534, Place du Maréchal de Lattre de Tassigny, 75775 Paris Cedex 16, France

E-mail Address: thibaut.mastrolia@ceremade.dauphine.fr

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DYLAN POSSAMAÏ

Université Paris Dauphine, CEREMADE UMR CNRS 7534, Place du Maréchal de Lattre de Tassigny, 75775 Paris Cedex 16, France

E-mail Address: dylan.possamai@ceremade.dauphine.fr

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ANTHONY RÉVEILLAC

INSA, Département GMM, IMT UMR CNRS 5219, Université de Toulouse, 135 Avenue de Rangueil, F-31077 Toulouse Cedex 4, France

E-mail Address: anthony.reveillac@insa-toulouse.fr

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https://doi.org/10.1142/S0219024915500454Cited by:19 (Source: Crossref)

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.

Keywords:

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