Consistent utility of investment and consumption: a forward/backward SPDE viewpoint

DOI10.1080/17442508.2018.1457676zbMath1498.60281OpenAlexW2600346179MaRDI QIDQ5086452

Nicole El Karoui, Mohamed Mrad, Caroline Hillairet

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2018.1457676

zbMATH Keywords

market-consistent progressive utility of investment and consumptionforward/backward stochastic partial differential equation (SPDE)

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (8)

Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling ⋮ DYNAMIC UTILITY AND RELATED NONLINEAR SPDES DRIVEN BY LÉVY NOISE ⋮ Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players ⋮ Itô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows ⋮ Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium ⋮ MIXTURE OF CONSISTENT STOCHASTIC UTILITIES AND A PRIORI RANDOMNESS

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