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math.PR2026
Forward recursive aggregator systems and the forward Epstein-Zin recursive paradigm
Zakaria Bensaid, Anis Matoussi, Thaleia Zariphopoulou
We introduce forward recursive aggregator systems in It{ô}-diffusion markets, bridging the theories of recursive utilities and of forward performance criteria. The resulting criter…
math.PR2020★ 1 cited
On the analyticity of the value function in optimal investment and stochastically dominant markets
Oleskii Mostovyi, Mihai Sîrbu, Thaleia Zariphopoulou
We study the analyticity of the value function in optimal investment with expected utility from terminal wealth and the relation to stochastically dominant financial models. We ide…