"Stochastic Control of Optimized Certainty Equivalents."

Julio D. Backhoff Veraguas, A. Max Reppen, Ludovic Tangpi (2022)

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DOI: 10.1137/21M1407732

access: closed

type: Journal Article

metadata version: 2023-05-17

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Julio D. Backhoff Veraguas, A. Max Reppen, Ludovic Tangpi:
Stochastic Control of Optimized Certainty Equivalents. SIAM J. Financial Math. 13(3): 745-772 (2022)

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