A stability result for the HARA class with stochastic interest rates.
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Publication:1423345
DOI10.1016/j.insmatheco.2003.09.003zbMath1103.91349OpenAlexW1968112398MaRDI QIDQ1423345
Publication date: 14 February 2004
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://crest.science/RePEc/wpstorage/2000-23.pdf
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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