Forward dynamic utilities: a new model and new results

We present a new model of forward dynamic utilities. In doing so, we provide unique (viscosity) solutions. In addition, we introduce Hausdorff-continuous viscosity solutions to the portfolio model.

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Year of publication:	2010-03-02
Authors:	Alghalith, Moawia

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Alghalith, Moawia (2010): Forward dynamic utilities: a new model and new results.
Classification:	G10 - General Financial Markets. General ; D80 - Information and Uncertainty. General
Source:	BASE

Persistent link: https://www.econbiz.de/10015221139