Consistent utility of investment and consumption: a forward/backward SPDE viewpoint
Author:
Affiliation:
1. LPMA, UMR CNRS 6632, Université Pierre et Marie Curie , Paris, France.
2. CREST, UMR CNRS 9194, Ensae Paristech, Université Paris Saclay , Palaiseau, France.
3. LAGA, UMR CNRS 7539, Université Paris 13 , Villetaneuse, France.
Funder
Chaire Risque Financier of the Fondation du Risque
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2018.1457676
Reference23 articles.
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2. Y. Jin , and P. Glasserman , Equilibrium positive interest rates: a unified view , Rev Financi Stud, 14(1) (2001), pp. 187–214.
3. An Intertemporal General Equilibrium Model of Asset Prices
4. A Theory of the Term Structure of Interest Rates
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