Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations (Q2819095)
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scientific article; zbMATH DE number 6630540
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| English | Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations |
scientific article; zbMATH DE number 6630540 |
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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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Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations (English)
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0.7703448534011841
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0.7502281069755554
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0.7500177025794983
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0.7398970127105713
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0.7385024428367615
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