17 citations · 25 across the 6 of their papers we have counts for
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q-fin.CP2010★ 17 cited
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
N. El Karoui, Mohamed M'Rad
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 fields are defined…
math.PR2010
An Exact Connection between two Solvable SDEs and a Nonlinear Utility Stochastic PDE
Nicole El Karoui, Mohamed Mrad
Motivated by the work of Musiela and Zariphopoulou \cite{zar-03}, we study the Itô random fields which are utility functions for any . The main tool is the marginal…