Investment, Consumption and Pricing in Constrained and Unbounded Markets

The monograph addresses three fundamental issues in a financial market: investment, consumption, and pricing using the cutting-edge quadratic backward stochastic differential equation (BSDE). The book provides

• an unprecedented systematic application of the theory of quadratic BSDEs to general utility maximization problems in constrained and unbounded financial markets;
• the first treatment of general Epstein-Zin utility maximization problems with portfolio constraints in a non-Markovian framework, marking significant progress in the dynamic investment-consumption problems; and
• an excellent entry point for research students and early-career researchers in mathematical finance by offering a clear pathway into the field with practical examples.

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