Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models |
scientific article |
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Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (English)
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4 September 2014
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quadratic BSDEs
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affine processes
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Wishart processes
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utility maximization
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stochastic volatility
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explicit solution
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