Stochastic Partial Differential Equations and Portfolio Choice
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Publication:3000883
DOI10.1007/978-3-642-03479-4_11zbMATH Open1217.91173OpenAlexW195033016MaRDI QIDQ3000883FDOQ3000883
Authors: M. Musiela, Thaleia Zariphopoulou 
Publication date: 31 May 2011
Published in: Contemporary Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_11
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cited In (50)
- Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
- Power Mixture Forward Performance Processes
- Forward utility and market adjustments in relative investment-consumption games of many players
- Who are I: time inconsistency and intrapersonal conflict and reconciliation
- Optimal investment in defined contribution pension schemes with forward utility preferences
- Dynamic approaches for some time-inconsistent optimization problems
- Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
- Stochastic differential portfolio games
- Deep learning scheme for forward utilities using ergodic BSDEs
- Forward indifference valuation for dynamically incoming projects
- Mean field and \(n\)-player games in Ito-diffusion markets under forward performance criteria
- Optimal liquidation with dynamic parameter updating: a forward approach
- Rank-dependent predictable forward performance processes
- Dynamically consistent investment under model uncertainty: the robust forward criteria
- Mixture of consistent stochastic utilities and \textit{a priori} randomness
- Solving some stochastic partial differential equations driven by Lévy noise using two SDEs*
- Predictable forward performance processes: the binomial case
- On the parabolic equation for portfolio problems
- INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
- Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
- Convergence rate of strong approximations of compound random maps, application to SPDEs
- Recover dynamic utility from observable process: application to the economic equilibrium
- Optimal contract for a fund manager with capital injections and endogenous trading constraints
- Black's inverse investment problem and forward criteria with consumption
- Time-consistent conditional expectation under probability distortion
- A stochastic partial differential equation for stock-price distributions
- A generalized Itō-Ventzell formula to derive forward utility models in a jump market
- A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
- Forward indifference valuation of American options
- Portfolio problems based on jump-diffusion models
- Convolutional neural network based simulation and analysis for backward stochastic partial differential equations
- Forward exponential indifference valuation in an incomplete binomial model
- Competition in fund management and forward relative performance criteria
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- New stochastic calculus
- Advanced strategies of portfolio management in the Heston market model
- Dynamic utility and related nonlinear SPDEs driven by Lévy noise
- Probabilistic aspects of finance
- Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
- Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
- Note on a nonlinear evolution equation for the risk preference
- Nonrecursive separation of risk and time preferences
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- Time-consistent pension policy with minimum guarantee and sustainability constraint
- \(G\)-forward performance process and representation of homothetic case via ergodic quadratic \(G\)-BSDE
- Bi-revealed utilities in a defaultable universe: a new point of view on consumption
- Optimal investment and consumption with forward preferences and uncertain parameters
- A class of homothetic forward investment performance processes with non-zero volatility
- An ergodic BSDE risk representation in a jump-diffusion framework
- Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
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