OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS
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Publication:3173989
DOI10.1142/S0219493711003280zbMath1237.91202arXiv1010.0080OpenAlexW1926616175MaRDI QIDQ3173989
Publication date: 11 October 2011
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.0080
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)
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Cites Work
- Adapted solution of a backward stochastic differential equation
- On measure solutions of backward stochastic differential equations
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Continuous exponential martingales and BMO
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- BSDE with quadratic growth and unbounded terminal value
- Utility maximization in incomplete markets
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