A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited In (2)

Dynamic asset-liability management with frictions
Strategic trading with information acquisition and long-memory stochastic liquidity

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