Predictable forward performance processes in complete markets

DOI10.3934/puqr.2023007zbMath1530.91520arXiv2206.03608MaRDI QIDQ6090952

Bahman Angoshtari

Publication date: 21 November 2023

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.03608

zbMATH Keywords

Fourier transformintegral equationdeconvolutioncomplete marketforward performance processescompletely monotonic inverse marginalpredictable preference

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items

Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions

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