A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility

DOI10.1007/978-3-319-02069-3_22zbMath1418.91483MaRDI QIDQ4561947

Thaleia Zariphopoulou, Sergey Nadtochiy

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_22

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; Heston model; Widder theorem; forward investment performance; distortion transformation

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

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