Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
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Publication:5280241
DOI10.1137/15M1048847zbMath1391.91148arXiv1511.04863MaRDI QIDQ5280241
Thaleia Zariphopoulou, Gechun Liang
Publication date: 20 July 2017
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.04863
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)
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