A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory (Q2171069)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory |
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A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory (English)
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23 September 2022
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portfolio optimization
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Hamilton-Jacobi-Bellman equation
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stochastic delay factors
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optimal stochastic control
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