Pages that link to "Item:Q1802947"
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The following pages link to PDE solutions of stochastic differential utility (Q1802947):
Displayed 34 items.
- Maximum principle for stochastic recursive optimal control problems involving impulse controls (Q448783) (← links)
- BSDEs with polynomial growth generators in a defaultable market (Q488680) (← links)
- Optimal consumption and investment with Epstein-Zin recursive utility (Q503395) (← links)
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets (Q503396) (← links)
- On controllability for stochastic control systems when the coefficient is time-variant (Q601888) (← links)
- Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available (Q622236) (← links)
- 2D backward stochastic Navier-Stokes equations with nonlinear forcing (Q655328) (← links)
- Backward stochastic differential equations with reflection and Dynkin games (Q674517) (← links)
- On variant reflected backward SDEs, with applications (Q1039926) (← links)
- Backward stochastic differential equations with constraints on the gains-process (Q1307453) (← links)
- Efficient and equilibrium allocations with stochastic differential utility (Q1322710) (← links)
- Asset and commodity prices with multi-attribute durable goods (Q1351930) (← links)
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty (Q1354833) (← links)
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's (Q1356364) (← links)
- An existence theorem of intertemporal recursive utility in the presence of Lévy jumps (Q1592523) (← links)
- Continuous-time smooth ambiguity preferences (Q1657303) (← links)
- Viscosity solutions of nonlinear integro-differential equations (Q1814669) (← links)
- Hedging options for a large investor and forward-backward SDE's (Q1814742) (← links)
- A dynamic maximum principle for the optimization of recursive utilities under constraints. (Q1872429) (← links)
- Stability of backward stochastic differential equations (Q1915848) (← links)
- Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents (Q1932535) (← links)
- Consumption-portfolio optimization with recursive utility in incomplete markets (Q1936832) (← links)
- Optimal consumption and portfolio selection with stochastic differential utility (Q1961363) (← links)
- The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations (Q2111245) (← links)
- A term structure model with preferences for the timing of resolution of uncertainty (Q2365065) (← links)
- Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps (Q2495373) (← links)
- Numerical methods for forward-backward stochastic differential equations (Q2564697) (← links)
- Optimal Consumption‐Portfolio Policies With Habit Formation<sup>1</sup> (Q4345934) (← links)
- LIFE INSURANCE AND PENSION CONTRACTS II: THE LIFE CYCLE MODEL WITH RECURSIVE UTILITY (Q4563762) (← links)
- Time-Inconsistent Recursive Stochastic Optimal Control Problems (Q4599725) (← links)
- On the parabolic equation for portfolio problems (Q4989156) (← links)
- Equilibrium strategies for time-inconsistent stochastic switching systems (Q5107969) (← links)
- Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences (Q5163685) (← links)
- Epstein‐Zin utility maximization on a random horizon (Q6146695) (← links)