{"id":"W1995116006","doi":"10.1016/j.spa.2012.03.007","title":"BSDEs in utility maximization with BMO market price of risk","year":2012,"lang":"en","type":"article","venue":"Stochastic Processes and their Applications","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":9,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Alberta","funders":"Natural Sciences and Engineering Research Council of Canada","keywords":"Semimartingale; Mathematics; Square-integrable function; Utility maximization problem; Uniqueness; Bounded function; Quadratic equation; Brownian motion; Stochastic differential equation; Integrable system; Applied mathematics; Exponential function; Quadratic variation; Exponential utility; Representation (politics); Maximization; Utility maximization; Quadratic growth; Filtration (mathematics); Mathematical economics; Mathematical optimization; Mathematical analysis; Pure mathematics","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.006056448,0.001667802,0.003365608,0.001306077,0.0007846009,0.003975733,0.001841987,0.003053816,0.005188601],"category_scores_gemma":[0.01916517,0.001177526,0.001424652,0.002071969,0.003574914,0.005159902,0.002874487,0.003938148,0.0004244433],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.002859596,"about_ca_system_score_gemma":0.002225117,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.004384105,"about_ca_topic_score_gemma":0.00267001,"domain_scores_codex":[0.9980769,0.001232922,0.00007684053,0.000216073,0.0002589703,0.0001381839],"domain_scores_gemma":[0.9915039,0.006720412,0.0004560654,0.0002129099,0.0005947439,0.0005119159],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00005563146,0.00005396668,0.0003293786,0.0001088098,0.0000525544,0.0000991929,0.0001015461,0.136347,0.0003502075,0.8548747,0.001765013,0.005862012],"study_design_scores_gemma":[0.00002083069,0.00001845336,0.0001082956,0.00002969777,0.0000170875,0.00002432422,0.00002565945,0.6466813,0.0000887952,0.3520424,0.0009270611,0.0000159804],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.03231124,0.00350147,0.9447152,0.003326386,0.0003201848,0.00007960352,0.0001929352,0.00008522368,0.01546778],"genre_scores_gemma":[0.8254871,0.005646214,0.1317845,0.0009597095,0.001035705,0.0004758887,0.0003211863,0.0002349645,0.03405468],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.006056448,"threshold_uncertainty_score":0.03202993,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01403467663522429,"score_gpt":0.2028493209246778,"score_spread":0.1888146442894535,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}