Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations (Q2819095)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations |
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Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations (English)
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28 September 2016
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factor models
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forward performance processes
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HJB equations
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incomplete markets
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multiscale asymptotic analysis
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optimal investment
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stochastic volatility models
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