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Dynamic CRRA-Utility Indifference Value in Generalized Cox Model

https://doi.org/10.2139/ssrn.2491412
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1 of 20 checkable references need attention · checked 2026-08-28

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References needing attention

does not resolve to a known work10.1017/s0001867800027579
The 19 checked references that resolve
resolves10.1007/s007800200075
A monetary value for initial information in portfolio optimization
resolves10.1214/009117905000000648
The Shannon information of filtrations and the additional logarithmic utility of insiders
resolves10.1007/s00440-007-0093-y
Quadratic BSDEs with convex generators and unbounded terminal conditions
resolves10.1111/1467-9965.00031
Bond Market Structure in the Presence of Marked Point Processes
resolves10.1016/0304-4068(86)90017-0
Multiperiod security markets with differential information
resolves10.1016/j.spa.2010.02.003
What happens after a default: The conditional density approach
resolves10.1007/bfb0075768
Grossissement initial, hypothese (H′) et theoreme de Girsanov
resolves10.1007/978-3-662-02514-7
Limit Theorems for Stochastic Processes
resolves10.1007/978-1-84628-737-4
Mathematical Methods for Financial Markets
resolves10.1016/j.spa.2008.12.009
Progressive enlargement of filtrations with initial times
resolves10.1016/j.spa.2011.04.002
An explicit model of default time with given survival probability
resolves10.1007/bfb0093539
Semi-Martingales et Grossissement d’une Filtration
resolves10.1007/s00780-010-0140-x
Optimal investment with counterparty risk: a default-density model approach
resolves10.1016/s0764-4442(97)80017-1
Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
resolves10.1214/aop/1019160253
Backward stochastic differential equations and partial differential equations with quadratic growth
resolves10.1007/bf01531332
On cox processes and credit risky securities
resolves10.1080/17442509808834149
Existence for BSDE with superlinear–quadratic coefficient
resolves10.1007/s00780-008-0079-3
Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
resolves10.1080/07362994.2014.939540
The exp-UIV for Markets with Partial Information and Complete Information
The 5 references without a DOI — listed, not checked
no DOI — not checkedref7
no DOI — not checkedContinuous exponential martingales and BMO
no DOI — not checkedThe p-optimal martingale measure when there exist inaccessible jumps
no DOI — not checkedA semimartingale backward equation related to the p-optimal martingale measure and the lower price of a contingent claim
no DOI — not checkedref25
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