Utility Maximization Under Endogenous Pricing

The authors thank Antoon Pelsser, Patrick Cheridito, Michail Anthropelos, Frank Riedel, Sergio Pulido, Michael Kupper, Dirk Becherer, Roger Laeven, Giorgio Ferrari, and Mario Ghossoub as well as the participants of the German Probability and Statistics Days 2023, the Eighth Eastern Conference on Mathematical Finance, and seminars at the University of Amsterdam, Waterloo, Bielefeld, and ETH Zürich for their comments and feedback for which the usual caveat applies. An earlier draft of the paper was disseminated under the title “Forward BSDEs and backward SPDEs for utility maximization under endogenous pricing.”