{"id":"W3123368827","doi":"10.48550/arxiv.1107.0183","title":"BSDEs in Utility Maximization with BMO Market Price of Risk","year":2011,"lang":"en","type":"preprint","venue":"RePEc: Research Papers in Economics","topic":"Risk and Portfolio Optimization","field":"Decision Sciences","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Alberta","funders":"","keywords":"Semimartingale; Utility maximization problem; Mathematics; Uniqueness; Square-integrable function; Bounded function; Quadratic equation; Exponential utility; Integrable system; Utility maximization; Brownian motion; Exponential function; Quadratic growth; Mathematical economics; Applied mathematics; Stochastic differential equation; Representation (politics); Duality (order theory); Quadratic variation; Maximization; Mathematical optimization; Pure mathematics; Mathematical analysis","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.01303868,0.0002702841,0.0007330842,0.001483366,0.0000904401,0.0001643773,0.001297076,0.0004512509,0.0007689914],"category_scores_gemma":[0.005168463,0.0002271309,0.0001260476,0.00077585,0.0004313847,0.000279008,0.0008619505,0.001217246,0.00001131661],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.000286662,"about_ca_system_score_gemma":0.0007914342,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0007355565,"about_ca_topic_score_gemma":0.002307558,"domain_scores_codex":[0.994633,0.001295048,0.001488541,0.001189917,0.0008516735,0.0005417908],"domain_scores_gemma":[0.9945765,0.002051125,0.0009201941,0.001744704,0.000556756,0.0001506988],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"observational","study_design_scores_codex":[0.0006895588,0.0002141582,0.6156833,0.00003228446,0.0000276142,0.00001126424,0.001199514,0.07377782,0.000001645044,0.00018225,0.0001488825,0.3080317],"study_design_scores_gemma":[0.0008930499,0.0001217527,0.8192483,0.0001917765,0.0000110905,0.000004968751,0.001378823,0.1378579,0.0001316743,0.03464007,0.00506876,0.0004517841],"study_design_candidate":"observational","study_design_consensus":"observational","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.6844087,0.000124278,0.0006240313,0.0000568795,0.0002544917,0.0009741455,0.0001231084,0.0000209937,0.3134134],"genre_scores_gemma":[0.9651317,0.02718848,0.006005008,0.00001005577,0.00004947661,0.00007998769,0.00003835342,0.0000356977,0.001461222],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.3119521,"threshold_uncertainty_score":0.926213,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.08560149987770302,"score_gpt":0.3654958298780713,"score_spread":0.2798943300003683,"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."}}