Optimal risk transfer and investment policies based upon stochastic differential utilities (Q2372259): Difference between revisions

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+https://doi.org/10.1007/s10690-006-9031-8
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+W1979233679
@@ Property / OpenAlex ID: W1979233679 / rank @@
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@@ Property / cites work @@
+Q3160493
@@ Property / cites work: Q3160493 / rank @@
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@@ Property / cites work @@
+Stochastic Differential Utility
@@ Property / cites work: Stochastic Differential Utility / rank @@
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+Continuous-time security pricing. A utility gradient approach
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+A dynamic maximum principle for the optimization of recursive utilities under constraints.
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+Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
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+Forward-backward stochastic differential equations and their applications
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+Q4255599
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