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Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem · Study

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ChapterSome New BSDE Results for an Infinite-Horizon Stochastic Control Problem

Ying Hu2011

Chapter2011

Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem

Ying Hu · Walter Schachermayer B

19 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1989Theory of Martingales 2000Backward stochastic differential equations and partial differential equations with quadratic growth 2006Robust control and model misspecification 2006BSDE with quadratic growth and unbounded terminal value 1999Optimal Consumption and Portfolio Selection with Stochastic Differential Utility 2007Quadratic BSDEs with convex generators and unbounded terminal conditions

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Year2011

Typechapter

Published2011-01-01

VenueSpringer eBooks

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-18412-3_14

openalex_workW84052466

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