An approximation scheme for solution to the optimal investment problem in incomplete markets (Q2873139)
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scientific article; zbMATH DE number 6249471
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An approximation scheme for solution to the optimal investment problem in incomplete markets |
scientific article; zbMATH DE number 6249471 |
Statements
23 January 2014
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Merton's problem
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Hamilton-Jacobi-Bellman equation
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Trotter-Kato splitting
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viscosity solutions
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An approximation scheme for solution to the optimal investment problem in incomplete markets (English)
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