An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE (Q2873147): Difference between revisions
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Revision as of 08:53, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE |
scientific article |
Statements
An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE (English)
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23 January 2014
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forward utility
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performance criteria
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horizon-unbiased utility
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consistent utility
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progressive utility
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portfolio optimization
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optimal portfolio
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duality
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minimal martingale measure
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stochastic flows
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stochastic partial differential equations
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