Horizon-unbiased utility functions

Stochastic Processes and their Applications

Volumn 117, Issue 11, 2007, Pages 1621-1641

  Henderson, Vicky ^a   Hobson, David ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Backward heat equation; CRRA utility; Horizon unbiased utility; Incomplete market; Optimal stopping; Real options; Stochastic control; Utility maximisation

Indexed keywords

FUNCTION EVALUATION; MARKETING; RANDOM PROCESSES; STOCHASTIC CONTROL SYSTEMS;

BACKWARD HEAT EQUATION; HORIZON-UNBIASED UTILITY; UTILITY MAXIMISATION;

OPTIMAL CONTROL SYSTEMS;

EID: 34548667435     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.03.013     Document Type: Article

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