Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem

DOI10.1007/s00780-020-00436-1zbMath1454.35388arXiv1805.04535MaRDI QIDQ2211346

Mykhaylo Shkolnikov, Levon Avanesyan, Ronnie Sircar

Publication date: 11 November 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.04535

zbMATH Keywords

Hamilton-Jacobi-Bellman equations; incomplete markets; positive eigenfunctions; factor models; time-consistency; optimal portfolio selection; Merton problem; forward performance processes; generalised Widder theorem; ill-posed partial differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

35K55: Nonlinear parabolic equations

35P99: Spectral theory and eigenvalue problems for partial differential equations

35R25: Ill-posed problems for PDEs

35J15: Second-order elliptic equations

44A10: Laplace transform

91G10: Portfolio theory

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

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