An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE

DOI10.1137/10081143XzbMath1302.91175arXiv1004.5191OpenAlexW3121770928MaRDI QIDQ2873147

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.5191

zbMATH Keywords

duality stochastic partial differential equations portfolio optimization optimal portfolio stochastic flows minimal martingale measure performance criteria forward utility consistent utility horizon-unbiased utility progressive utility

Mathematics Subject Classification ID

Random fields (60G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)

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