Positivity preserving numerical method for optimal portfolio in a power utility two-dimensional regime-switching model

DOI10.1007/978-3-030-10692-8_48OpenAlexW2908663899MaRDI QIDQ2420098

Miglena N. Koleva, Lubin G. Vulkov

Publication date: 5 June 2019

Full work available at URL: https://doi.org/10.1007/978-3-030-10692-8_48

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Related Items (3)

Efficient finite difference method for optimal portfolio in a power utility regime-switching model ⋮ Fitted finite volume method for indifference pricing in an exponential utility regime-switching model ⋮ Qualitative properties of discrete nonlinear parabolic operators

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