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Efficient finite difference method for optimal portfolio in a power utility regime-switching model - MaRDI portal

Efficient finite difference method for optimal portfolio in a power utility regime-switching model (Q5031703)

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scientific article; zbMATH DE number 7474730
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English
Efficient finite difference method for optimal portfolio in a power utility regime-switching model
scientific article; zbMATH DE number 7474730

    Statements

    title
    Efficient finite difference method for optimal portfolio in a power utility regime-switching model (English)
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    author
    Miglena N. Koleva
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    Tihomir B. Gyulov
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    Lubin G. Vulkov
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    publication date
    16 February 2022
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    zbMATH Keywords
    regime-switching model
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    indifference pricing
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    semi-linear parabolic system
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    exponential nonlinearity
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    flux-limiter
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    positivity preserving
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    cites work
    Q4218383
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    Q4421310
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    Q4889859
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    Q3135823
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    Q4528992
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    Q4947421
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    Identifiers

    Mathematics Subject Classification ID
    65M06
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    35K51
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    91G10
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    zbMATH DE Number
    7474730
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    OpenAlex ID
    W2802959430
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    Wikidata QID
    Q129868323
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