Utility Maximization in Multivariate Volterra Models (Q5886358)
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scientific article; zbMATH DE number 7671148
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Utility Maximization in Multivariate Volterra Models |
scientific article; zbMATH DE number 7671148 |
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Utility Maximization in Multivariate Volterra Models (English)
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31 March 2023
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stochastic control
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utility maximization
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rough volatility
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Volterra-Wishart model
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Riccati-Volterra equations
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non-Markovian
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0.8528550267219543
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0.8439822196960449
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0.7897188067436218
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0.7829449772834778
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0.7816826105117798
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