Forward Backward Semimartingale Systems for Utility Maximization
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/130941778
Reference21 articles.
1. Conjugate convex functions in optimal stochastic control
2. Power utility maximization under partial information: Some convergence results
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4. Exponential Hedging and Entropic Penalties
5. Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
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2. Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model;Finance and Stochastics;2024-03-27
3. Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire;Stochastic Processes and their Applications;2020-07
4. Sensitivity analysis of the utility maximisation problem with respect to model perturbations;Finance and Stochastics;2019-04-19
5. Connections between a system of forward–backward SDEs and backward stochastic PDEs related to the utility maximization problem;Transactions of A. Razmadze Mathematical Institute;2018-12
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