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An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE
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References

  • 1992Stochastic Differential Utility1,165 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 2000Pricing Via Utility Maximization and Entropy454 cited
  • 2007The numéraire portfolio in semimartingale financial models320 cited
  • 2001A dynamic maximum principle for the optimization of recursive utilities under constraints155 cited
  • 2009Portfolio choice under dynamic investment performance criteria107 cited
  • 2010Portfolio Choice under Space-Time Monotone Performance Criteria87 cited
  • 2007Minimal Hellinger martingale measures of order q77 cited
  • 2007Horizon-unbiased utility functions76 cited
  • 2009Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs74 cited
  • 2009Stochastic flows of SDEs with irregular coefficients and stochastic transport equations53 cited
  • 2011CONDITIONAL CERTAINTY EQUIVALENT45 cited

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  • 2017Dynamic approaches for some time-inconsistent optimization problems

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34 cited
  • 2019Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion27 cited
  • 2016Predictable Forward Performance Processes: The Binomial Case25 cited