Utility Maximization With Random Horizon: A Bsde Approach
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References listed on IDEAS
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- Tahir Choulli & Sina Yansori, 2018. "Deflators and log-optimal portfolios under random horizon: Explicit description and optimization," Papers 1803.10128, arXiv.org.
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KeywordsQuadratic BSDEs; enlargement of filtration; credit risk;
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