Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem (Q2211346)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem |
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Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem (English)
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11 November 2020
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factor models
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forward performance processes
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generalised Widder theorem
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Hamilton-Jacobi-Bellman equations
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ill-posed partial differential equations
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incomplete markets
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Merton problem
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optimal portfolio selection
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positive eigenfunctions
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time-consistency
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