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Dynamic convex duality in constrained utility maximization - MaRDI portal

Dynamic convex duality in constrained utility maximization (Q5086461)

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scientific article; zbMATH DE number 7553400
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English
Dynamic convex duality in constrained utility maximization
scientific article; zbMATH DE number 7553400

    Statements

    title
    Dynamic convex duality in constrained utility maximization (English)
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    author
    Yusong Li
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    Harry Zheng
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    published in
    Stochastics
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    publication date
    5 July 2022
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    zbMATH Keywords
    convex duality
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    primal and dual FBSDEs
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    utility maximization
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    convex portfolio constraints
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    cites work

    Identifiers

    Mathematics Subject Classification ID
    91B16
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    60H30
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    90C26
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    90C46
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    93E20
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    zbMATH DE Number
    7553400
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    OpenAlex ID
    W2587544085
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    arXiv ID
    1612.04407
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