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"BSDE approach to utility maximization with square-root factor processes."

Hongcan Lin, David Saunders, Chengguo Weng (2020)

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DOI: 10.1016/J.ORL.2020.01.001

access: closed

type: Journal Article

metadata version: 2020-10-19

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  - journals/orl/LinSW20
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  - https://dblp.org/rec/journals/orl/LinSW20
Hongcan Lin, David Saunders, Chengguo Weng:
BSDE approach to utility maximization with square-root factor processes. Oper. Res. Lett. 48(2): 130-135 (2020)

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