Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
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Publication:1861159
DOI10.1007/s00245-002-0735-5zbMath1014.91038OpenAlexW2076623791MaRDI QIDQ1861159
Publication date: 13 March 2003
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-002-0735-5
optimal portfoliosemilinear partial differential equationstochastic volatilitieslogarithm transformation
Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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