Multidimensional investment problem (Q1702880)
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scientific article; zbMATH DE number 6845619
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multidimensional investment problem |
scientific article; zbMATH DE number 6845619 |
Statements
Multidimensional investment problem (English)
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1 March 2018
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geometric Brownian motion
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convex set
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resolvent kernel
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duality
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integral representation of excessive function
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optimal investment problem
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American put option
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integral equation
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