Portfolio selection problem with nonlinear wealth equations under non-extensive statistical mechanics for time-varying SDE

DOI10.1016/j.camwa.2018.09.057zbMath1442.91092OpenAlexW2898257970WikidataQ129048231 ScholiaQ129048231MaRDI QIDQ2203753

Pan Zhao, Jixia Wang, Qinghui Gao

Publication date: 2 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2018.09.057

zbMATH Keywords

viscosity solutionHJB equationportfolio selectionnon-extensive statistical mechanicsnon-linear wealth equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)

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Cites Work

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