Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE (Q5280241)
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scientific article; zbMATH DE number 6750532
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE |
scientific article; zbMATH DE number 6750532 |
Statements
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE (English)
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20 July 2017
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forward performance process
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ergodic BSDE
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infinite horizon BSDE
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