Forward-backward systems for expected utility maximization
  In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE). 
Ulrich Horst, Ying Hu, Peter Imkeller, Anthony R\'eveillac, Jianing   Zhang
math.PR