Convex duality for Epstein–Zin stochastic differential utility
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Publication:4962461
DOI10.1111/mafi.12168zbMath1417.91470arXiv1601.03562OpenAlexW3122537821MaRDI QIDQ4962461
Publication date: 2 November 2018
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1601.03562
backward stochastic differential equationconvex dualitystochastic differential utilityconsumption investment optimization
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Portfolio theory (91G10)
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