The Stability of the Constrained Utility Maximization Problem: A BSDE Approach
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Publication:2873121
DOI10.1137/120862016zbMath1285.60067arXiv1107.0190OpenAlexW2963798260MaRDI QIDQ2873121
Nicholas Westray, Markus Mocha
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1107.0190
Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stability of control systems (93D99)
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