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OPTIMAL INVESTMENT FOR ALL TIME HORIZONS AND MARTIN BOUNDARY OF SPACE‐TIME DIFFUSIONS |
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| Authors: | Sergey Nadtochiy Michael Tehranchi |
| Institution: | 1. University of Michigan;2. University of Cambridge |
| Abstract: | |
| Keywords: | preferences state‐dependent utility time‐consistency forward performance process time‐reversed HJB equation Widder's theorem Martin boundary |