BSDE approach to utility maximization with square-root factor processes

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Veröffentlicht in:Operations research letters
1. Verfasser: Lin, Hongcan (VerfasserIn)
Weitere Verfasser: Saunders, David M. (VerfasserIn), Weng, Chengguo (VerfasserIn)
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Sprache:eng
Veröffentlicht: 2020
Schlagworte:
Backward stochastic differential equations > Riccati equation > Square-root factor process > Utility maximization > Aufsatz in Zeitschrift
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