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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... -
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... -
Optimization problem under change of regime of interest rate
In this paper, we study the classical problem of maximization of the sum of the utility of the terminal wealth and the utility of the consumption, in a case where a... -
Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
he purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links...
