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Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE.

Gechun LiangThaleia Zariphopoulou
Published in: SIAM J. Financial Math. (2017)
Keyphrases
  • infinite horizon
  • finite horizon
  • optimal control
  • probabilistic model
  • markov chain
  • markov decision processes
  • stochastic processes
  • single item
  • real time
  • machine learning
  • upper bound
  • lead time
  • stochastic demand