Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE (Q5280241)
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scientific article; zbMATH DE number 6750532
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| English | Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE |
scientific article; zbMATH DE number 6750532 |
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Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE (English)
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20 July 2017
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forward performance process
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ergodic BSDE
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infinite horizon BSDE
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0.8907905
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0.88316226
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0.8743021
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0.8728629
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0.86817545
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0.8648393
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0.8644137
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0.86417115
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