Convex duality for Epstein–Zin stochastic differential utility (Q4962461)
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scientific article; zbMATH DE number 6971518
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convex duality for Epstein–Zin stochastic differential utility |
scientific article; zbMATH DE number 6971518 |
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Convex duality for Epstein–Zin stochastic differential utility (English)
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2 November 2018
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backward stochastic differential equation
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consumption investment optimization
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convex duality
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stochastic differential utility
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