An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE (Q2873147)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE |
scientific article |
Statements
An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE (English)
0 references
23 January 2014
0 references
forward utility
0 references
performance criteria
0 references
horizon-unbiased utility
0 references
consistent utility
0 references
progressive utility
0 references
portfolio optimization
0 references
optimal portfolio
0 references
duality
0 references
minimal martingale measure
0 references
stochastic flows
0 references
stochastic partial differential equations
0 references
