BSDE approach to utility maximization with square-root factor processes (Q1984680)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BSDE approach to utility maximization with square-root factor processes |
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BSDE approach to utility maximization with square-root factor processes (English)
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7 April 2020
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backward stochastic differential equations
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utility maximization
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square-root factor process
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Riccati equation
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