DYNAMIC UTILITY AND RELATED NONLINEAR SPDES DRIVEN BY LÉVY NOISE (Q5066295)
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scientific article; zbMATH DE number 7499766
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DYNAMIC UTILITY AND RELATED NONLINEAR SPDES DRIVEN BY LÉVY NOISE |
scientific article; zbMATH DE number 7499766 |
Statements
DYNAMIC UTILITY AND RELATED NONLINEAR SPDES DRIVEN BY LÉVY NOISE (English)
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29 March 2022
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forward utility
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stochastic PDE with jumps
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stochastic flows
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stochastic characteristics method
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performance criteria
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horizon-unbiased utility
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consistent utility
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progressive utility
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portfolio optimization
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duality
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