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.