On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions (Q5280245)
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scientific article; zbMATH DE number 6750536
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions |
scientific article; zbMATH DE number 6750536 |
Statements
On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions (English)
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20 July 2017
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utility maximization
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complete and incomplete markets
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duality
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backward stochastic partial differential equation
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value function
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