BSDE approach to utility maximization with square-root factor processes

Hongcan Lin, David Saunders, Chengguo Weng. BSDE approach to utility maximization with square-root factor processes. Oper. Res. Lett., 48(2):130-135, 2020. [doi]

Authors

Hongcan Lin

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David Saunders

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Chengguo Weng

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