%0 Journal Article %T Utility maximization in incomplete markets with default %A Thomas Lim %A Marie-Claire Quenez %J Mathematics %D 2008 %I arXiv %X We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic programming, we characterize the value function with a backward stochastic differential equation and the optimal portfolio policies. We separately treat the cases of exponential, power and logarithmic utility. %U http://arxiv.org/abs/0811.4715v3