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An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE
An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDENicole, El Karoui; Mohamed, Mrad.
SIAM Journal on Financial Mathematics; Philadelphia Vol. 4, Iss. 1, (2013): 697-736.
DOI:10.1137/10081143X
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