Asymptotic Analysis of Forward Performance Processes in...

SIAM Journal on Financial Mathematics 2016 / 01 Vol. 7; Iss. 1

Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations

Shkolnikov, Mykhaylo, Sircar, Ronnie, Zariphopoulou, Thaleia
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Volume:
7
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/15M1016059
Date:
January, 2016
File:
PDF, 445 KB
english, 2016
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