Characterization of fully coupled FBSDE in terms of portfolio optimization
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Publication:2184583
DOI10.1214/20-EJP412zbMath1444.60068arXiv1703.02694OpenAlexW3005950819MaRDI QIDQ2184583
Dewen Xiong, Peng Luo, Samuel Drapeau
Publication date: 29 May 2020
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.02694
random endowmentfully coupled FBSDEprobability and discounting uncertaintyutility portfolio optimization
Related Items (2)
A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations ⋮ Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators
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