Forward-backward systems for expected utility maximization (Q401458)
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scientific article; zbMATH DE number 6334617
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forward-backward systems for expected utility maximization |
scientific article; zbMATH DE number 6334617 |
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Forward-backward systems for expected utility maximization (English)
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27 August 2014
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forward-backward stochastic differential equations
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stochastic control
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utility maximization
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convex duality theory
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