UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH (Q3460679)

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UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH
scientific article

    Statements

    title
    UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH (English)
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    author
    Thibaut Mastrolia
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    Dylan Possamaï
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    Anthony Réveillac
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    publication date
    8 January 2016
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    zbMATH Keywords
    quadratic BSDEs
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    enlargement of filtration
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    credit risk
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    Identifiers

    Mathematics Subject Classification ID
    91G80
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    60H10
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    60H30
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    60G48
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    91G40
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    zbMATH DE Number
    6527657
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    arXiv ID
    1503.02062
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