Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets

DOI10.1016/J.SYSCONLE.2023.105680MaRDI QIDQ6131470FDOQ6131470

Authors: Jiangyan Pu, Qi Zhang 

Publication date: 5 April 2024

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

non-Lipschitz conditionHeston modelverification theoremgeneralized stochastic differential utilityvariability process

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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