On the properties of dynamic value functions in the problem of optimal investment in incomplete markets (Q2260275)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the properties of dynamic value functions in the problem of optimal investment in incomplete markets |
scientific article |
Statements
On the properties of dynamic value functions in the problem of optimal investment in incomplete markets (English)
0 references
10 March 2015
0 references
utility maximization
0 references
incomplete markets
0 references
backward stochastic partial differential equation
0 references
value function
0 references
