Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets (Q6131470)

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scientific article; zbMATH DE number 7827730
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Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
scientific article; zbMATH DE number 7827730

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    Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets (English)
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    5 April 2024
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    generalized stochastic differential utility
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    non-Lipschitz condition
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    Heston model
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    verification theorem
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    variability process
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