Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models

Yichen Zhu, Marcos Escobar-Anel. Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models. Applied Mathematics and Computation, 418:126836, 2022. [doi]

Authors

Yichen Zhu

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Marcos Escobar-Anel

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