Malliavin method for optimal investment in financial markets with memory (Q317870)
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scientific article; zbMATH DE number 6632359
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Malliavin method for optimal investment in financial markets with memory |
scientific article; zbMATH DE number 6632359 |
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Malliavin method for optimal investment in financial markets with memory (English)
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4 October 2016
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mean-field backward stochastic Volterra equations
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Malliavin derivative
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mean-field stochastic maximum principle
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financial market
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memory effects
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optimal investment
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