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]
@article{LinSW20-0,
title = {BSDE approach to utility maximization with square-root factor processes},
author = {Hongcan Lin and David Saunders and Chengguo Weng},
year = {2020},
doi = {10.1016/j.orl.2020.01.001},
url = {https://doi.org/10.1016/j.orl.2020.01.001},
researchr = {https://researchr.org/publication/LinSW20-0},
cites = {0},
citedby = {0},
journal = {Oper. Res. Lett.},
volume = {48},
number = {2},
pages = {130-135},
}