Backward Stochastic PDEs Related to the Utility Maximization Problem
Year of publication: |
2008-06
|
---|---|
Authors: | Mania, Michael ; Tevzadze, Revaz |
Institutions: | International Centre for Economic Research (ICER) |
Subject: | Backward stochastic partial dierential equation | utility maximization problem | semimartingale | incomplete markets |
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