Convex duality for Epstein–Zin stochastic differential utility (Q4962461): Difference between revisions

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Latest revision as of 20:57, 19 April 2024

scientific article; zbMATH DE number 6971518
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English
Convex duality for Epstein–Zin stochastic differential utility
scientific article; zbMATH DE number 6971518

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    Convex duality for Epstein–Zin stochastic differential utility (English)
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    2 November 2018
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    backward stochastic differential equation
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    consumption investment optimization
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    convex duality
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    stochastic differential utility
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