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An Exact Connection between two Solvable SDEs and a Nonlinear Utility Stochas...
Motivated by the work of Musiela and Zariphopoulou \cite{zar-03}, we study the Itô random fields which are utility functions $U(t,x)$ for any $(\omega,t)$. The main... -
Market viability and martingale measures under partial information
International audience -
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic ...
The paper generalizes the construction by stochastic flows of consistent utility processes introduced by M. Mrad and N. El Karoui in (2010). The utilities random...
