Optimal investment models with stochastic volatility: the time inhomogeneous case (Q2968662)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment models with stochastic volatility: the time inhomogeneous case |
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Optimal investment models with stochastic volatility: the time inhomogeneous case (English)
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20 March 2017
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semilinear partial differential equation
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stochastic volatility
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smooth solution
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Hamilton-Jacobi-Bellman equation
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time-dependent utility function
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utility optimisation
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