Austin, TX 78712
University of Texas at Austin
in Total Papers Citations
backward stochastic differential equations, general equilibrium, incomplete markets, Radner equilibrium, systems of BSDE
Boundary layer, convex analysis, convex duality, facelift, financial mathematics, incomplete markets, Markov processes, utility-maximization, unspanned endowment.
Incomplete markets, utility-maximization, unspanned endowment, local martingales, linearization, directional derivative
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