Optimal portfolio choice with path dependent benchmarked labor income: a mean field model (Q2074981): Difference between revisions

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Latest revision as of 23:36, 27 July 2024

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Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
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    Optimal portfolio choice with path dependent benchmarked labor income: a mean field model (English)
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    11 February 2022
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    life-cycle optimal portfolio with labor income following path dependent and law dependent dynamics
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    dynamic programming/optimal control of SDEs in infinite dimension with McKean-Vlasov dynamics and state constraints
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    second order Hamilton-Jacobi-Bellman equations in infinite dimension
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    verification theorems and optimal feedback controls
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