Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Levon Avanesyan, Mykhaylo Shkolnikov, Ronnie Sircar
| Year of publication: |
2020
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|---|---|
| Authors: | Avanesyan, Levon ; Shkolnikov, Mykhaylo ; Sircar, Kaushik Ronnie |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 24.2020, 4, p. 981-1011
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| Subject: | Factor models | Forward performance processes | Generalised Widder theorem | Hamilton-Jacobi-Bellman equations | Ill-posed partial differential equations | Incomplete markets | Merton problem | Optimal portfolio selection | Positive eigenfunctions | Time-consistency | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Faktorenanalyse | Factor analysis | Unvollkommener Markt | Incomplete market | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-020-00436-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012518139