Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE (Q5280241): Difference between revisions

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scientific article; zbMATH DE number 6750532

Language	Label	Description	Also known as
English	Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE	scientific article; zbMATH DE number 6750532

Statements

instance of

scholarly article

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title

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE (English)

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author

Gechun Liang

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Thaleia Zariphopoulou

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published in

SIAM Journal on Financial Mathematics

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publication date

20 July 2017

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full work available at URL

https://arxiv.org/abs/1511.04863

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zbMATH Keywords

forward performance process

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ergodic BSDE

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infinite horizon BSDE

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MaRDI profile type

MaRDI publication profile

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cites work

PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS

0 references

Q3160493

0 references

Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging

0 references

Risk-sensitive dynamic asset management

0 references

Quadratic BSDEs with random terminal time and elliptic PDEs in infinite dimension.

0 references

Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs

0 references

Ergodic BSDEs Driven by Markov Chains

0 references

Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach

0 references

Ergodic BSDEs under weak dissipative assumptions

0 references

Ramsey rule with forward/backward utility for long-term yield curves modeling

0 references

An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE

0 references

Risk-Sensitive Control on an Infinite Time Horizon

0 references

Risk-Sensitive Control and an Optimal Investment Model

0 references

Risk-sensitive control and an optimal investment model. II.

0 references

Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces

0 references

Horizon-unbiased utility functions

0 references

Pseudo linear pricing rule for utility indifference valuation

0 references

Utility maximization in incomplete markets

0 references

A Probabilistic Approach to Large Time Behavior of Mild Solutions of HJB Equations in Infinite Dimension

0 references

Backward stochastic differential equations and partial differential equations with quadratic growth.

0 references

Forward indifference valuation of American options

0 references

Dynamic exponential utility indifference valuation

0 references

Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem

0 references

Indifference valuation in incomplete binomial models

0 references

Q5506195

0 references

Optimal Asset Allocation under Forward Exponential Performance Criteria

0 references

Q3613974

0 references

Portfolio choice under dynamic investment performance criteria

0 references

Portfolio Choice under Space-Time Monotone Performance Criteria

0 references

Stochastic Partial Differential Equations and Portfolio Choice

0 references

A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility

0 references

Ergodic BSDEs and related PDEs with Neumann boundary conditions

0 references

Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations

0 references

Q3656701

0 references

Maturity-Independent Risk Measures

0 references

A dual characterization of self-generation and exponential forward performances

0 references

Identifiers

zbMATH Open document ID

1391.91148

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DOI

10.1137/15M1048847

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5280241

@@ Property / cites work @@
+PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS
+Normal rank
@@ Property / cites work @@
+Q3160493
@@ Property / cites work: Q3160493 / rank @@
+Normal rank
@@ Property / cites work @@
+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
+Normal rank
@@ Property / cites work @@
+Risk-sensitive dynamic asset management
@@ Property / cites work: Risk-sensitive dynamic asset management / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs with random terminal time and elliptic PDEs in infinite dimension.
+Normal rank
@@ Property / cites work @@
+Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
+Normal rank
@@ Property / cites work @@
+Ergodic BSDEs Driven by Markov Chains
@@ Property / cites work: Ergodic BSDEs Driven by Markov Chains / rank @@
+Normal rank
@@ Property / cites work @@
+Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach
+Normal rank
@@ Property / cites work @@
+Ergodic BSDEs under weak dissipative assumptions
@@ Property / cites work: Ergodic BSDEs under weak dissipative assumptions / rank @@
+Normal rank
@@ Property / cites work @@
+Ramsey rule with forward/backward utility for long-term yield curves modeling
+Normal rank
@@ Property / cites work @@
+An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE
+Normal rank
@@ Property / cites work @@
+Risk-Sensitive Control on an Infinite Time Horizon
+Normal rank
@@ Property / cites work @@
+Risk-Sensitive Control and an Optimal Investment Model
+Normal rank
@@ Property / cites work @@
+Risk-sensitive control and an optimal investment model. II.
+Normal rank
@@ Property / cites work @@
+Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces
+Normal rank
@@ Property / cites work @@
+Horizon-unbiased utility functions
@@ Property / cites work: Horizon-unbiased utility functions / rank @@
+Normal rank
@@ Property / cites work @@
+Pseudo linear pricing rule for utility indifference valuation
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+A Probabilistic Approach to Large Time Behavior of Mild Solutions of HJB Equations in Infinite Dimension
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Forward indifference valuation of American options
+Normal rank
@@ Property / cites work @@
+Dynamic exponential utility indifference valuation
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
+Normal rank
@@ Property / cites work @@
+Indifference valuation in incomplete binomial models
+Normal rank
@@ Property / cites work @@
+Q5506195
@@ Property / cites work: Q5506195 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Asset Allocation under Forward Exponential Performance Criteria
+Normal rank
@@ Property / cites work @@
+Q3613974
@@ Property / cites work: Q3613974 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio choice under dynamic investment performance criteria
+Normal rank
@@ Property / cites work @@
+Portfolio Choice under Space-Time Monotone Performance Criteria
+Normal rank
@@ Property / cites work @@
+Stochastic Partial Differential Equations and Portfolio Choice
+Normal rank
@@ Property / cites work @@
+A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility
+Normal rank
@@ Property / cites work @@
+Ergodic BSDEs and related PDEs with Neumann boundary conditions
+Normal rank
@@ Property / cites work @@
+Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations
+Normal rank
@@ Property / cites work @@
+Q3656701
@@ Property / cites work: Q3656701 / rank @@
+Normal rank
@@ Property / cites work @@
+Maturity-Independent Risk Measures
@@ Property / cites work: Maturity-Independent Risk Measures / rank @@
+Normal rank
@@ Property / cites work @@
+A dual characterization of self-generation and exponential forward performances
+Normal rank