Forward dynamic utility functions: a new model and new results
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Cites work
- A dual characterization of self-generation and exponential forward performances
- A new stochastic factor model: general explicit solutions
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
- Minimal Hellinger martingale measures of order \(q\)
- Optimal Control with State-Space Constraint I
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Optimal investment strategy to minimize occupation time
- Portfolio choice under space-time monotone performance criteria
- Viscosity Solutions of Hamilton-Jacobi Equations
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