Backward Stochastic PDEs Related to the Utility Maximization Problem
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- Claudia Ceci & Anna Gerardi, 2011. "Utility indifference valuation for jump risky assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 34(2), pages 85-120, November.
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More about this item
KeywordsBackward stochastic partial di erential equation; utility maximization problem; semimartingale; incomplete markets;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-06-03 (All new papers)
- NEP-DGE-2009-06-03 (Dynamic General Equilibrium)
- NEP-UPT-2009-06-03 (Utility Models & Prospect Theory)
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