Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem

DOI10.1007/s00780-020-00436-1zbMath1454.35388arXiv1805.04535OpenAlexW3085911866MaRDI QIDQ2211346

Mykhaylo Shkolnikov, Levon Avanesyan, Ronnie Sircar

Publication date: 11 November 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.04535

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsincomplete marketspositive eigenfunctionsfactor modelstime-consistencyoptimal portfolio selectionMerton problemforward performance processesgeneralised Widder theoremill-posed partial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Spectral theory and eigenvalue problems for partial differential equations (35P99) Ill-posed problems for PDEs (35R25) Second-order elliptic equations (35J15) Laplace transform (44A10) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (8)

Competition in Fund Management and Forward Relative Performance Criteria ⋮ Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players ⋮ Power Mixture Forward Performance Processes ⋮ Optimal investment with correlated stochastic volatility factors ⋮ Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions ⋮ A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models ⋮ Stability of the Indirect Utility Process ⋮ Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets

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