\(G\)-forward performance process and representation of homothetic case via ergodic quadratic \(G\)-BSDE

DOI10.3934/puqr.2024005zbMath1539.60072MaRDI QIDQ6543813

Falei Wang, Yifan Sun

Publication date: 25 May 2024

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

zbMATH Keywords

\(G\)-forward performance processergodic \(G\)-BSDEInfinite horizon \(G\)-BSDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)

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