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

Hongcan Lin David Saunders Chengguo Weng

Published in: Oper. Res. Lett. (2020)

Keyphrases

square root
utility maximization
utility function
floating point
kalman filtering
arrival rate
probability density function
euclidean space
high dimensional
steady state
riemannian manifolds
stochastic gradient
dynamic programming
kalman filter
fixed point
sample path