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20092023
most citedOn a Stochastic Wave Equation Driven by a Non-Gaussian Levy Process

9 citations · 20 across the 22 of their papers we have counts for

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Showing 2018 · math.PRShow all

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math.PR2018

Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors

Lijun Bo, Agostino Capponi, Chao Zhou

We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk prefe…