An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE

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An Exact Connection between two Solvable SDEs and a Nonlinear Utility Stochastic PDE

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ژورنال

عنوان ژورنال: SIAM Journal on Financial Mathematics

سال: 2013

ISSN: 1945-497X

DOI: 10.1137/10081143x