Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent

Yifan Sun, Thaleia Zariphopoulou, Gechun Liang

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)

This page was built for publication: Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent