Optimization problem under change of regime of interest rate (Q2816571)
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scientific article; zbMATH DE number 6618922
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimization problem under change of regime of interest rate |
scientific article; zbMATH DE number 6618922 |
Statements
Optimization problem under change of regime of interest rate (English)
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23 August 2016
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portfolio optimization
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power utility
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stochastic interest rate
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dual problem
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backward stochastic differential equations (BSDEs)
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enlarged filtration
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