"Representation of Homothetic Forward Performance Processes in Stochastic ..."

Gechun Liang, Thaleia Zariphopoulou (2017)

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DOI: 10.1137/15M1048847

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type: Journal Article

metadata version: 2023-06-26

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Gechun Liang, Thaleia Zariphopoulou:
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE. SIAM J. Financial Math. 8(1): 344-372 (2017)

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