Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors

DOI10.1287/MOOR.2022.1262arXiv2201.09406OpenAlexW4327730832MaRDI QIDQ6199242

Agostino Capponi, Chao Zhou, Li Jun Bo

Publication date: 23 February 2024

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.09406

zbMATH Keywords

portfolio constraintssemimartingale marketforward performance processill-posed HJB equationtime-monotone process

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Generalizations of martingales (60G48) Portfolio theory (91G10) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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