Dynamic utility and related nonlinear spdes driven by Lévy noise
Year of publication: |
2022
|
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Authors: | Matoussi, Anis ; Mrad, Mohamed |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 25.2022, 1, Art.-No. 2250004, p. 1-45
|
Subject: | consistent utility | duality | Forward utility | horizon-unbiased utility | performance criteria | portfolio optimization | progressive utility | stochastic characteristics method | stochastic flows | stochastic PDE with jumps | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Nutzen | Utility | Nutzentheorie | Utility theory |
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