|
|||||
|
|
Consistent utility of investment and consumption: a forward/backward SPDE viewpoint |
|
| Authors: | Nicole El Karoui Mohamed Mrad |
| Affiliation: | 1. LPMA, UMR CNRS 6632, Université Pierre et Marie Curie , Paris, France.;2. LAGA, UMR CNRS 7539, Université Paris 13 , Villetaneuse, France. |
| Abstract: | |
| Keywords: | Market-consistent progressive utility of investment and consumption forward/backward stochastic partial differential equation (SPDE) |