Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem (Q2211346): Difference between revisions

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Latest revision as of 01:26, 24 July 2024

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Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
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    Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem (English)
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    11 November 2020
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    factor models
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    forward performance processes
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    generalised Widder theorem
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    Hamilton-Jacobi-Bellman equations
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    ill-posed partial differential equations
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    incomplete markets
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    Merton problem
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    optimal portfolio selection
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    positive eigenfunctions
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    time-consistency
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