A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility (Q4561947): Difference between revisions

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Latest revision as of 16:51, 17 July 2024

scientific article; zbMATH DE number 6993407
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English
A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility
scientific article; zbMATH DE number 6993407

    Statements

    A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility (English)
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    13 December 2018
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    forward investment performance
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    Hamilton-Jacobi-Bellman equation
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    distortion transformation
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    Widder theorem
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    Heston model
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