We characterize a class of fully coupled forward backward stochastic differential equations in terms of optimal maximal sub-solutions of BSDEs. We present the application thereof in utility optimization with random endowment under probability and discounting uncertainty. We provide some explicit examples and show how to quantify the costs of incompleteness when using utility indifference pricing  .
We provide a verification and characterization result of optimal maximal sub-solutions of BSDEs in terms of fully coupled forward backward stochastic differential equations . We illustrate the application thereof in utility optimization with random endowment under probability and discounting uncertainty. We show with explicit examples how to quantify the costs of incompleteness when using utility indifference pricing , as well as a way to find optimal solutions for recursive utilities .
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characterize a class of
provide a verification and characterization result of optimal maximal sub-solutions of BSDEs in terms of
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in terms of optimal maximal sub-solutions of BSDEs. We present
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provide some explicit examples and show
show with explicit examples
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, as well as a way to find optimal solutions for recursive utilities