Optimal investment models with stochastic volatility: the time inhomogeneous case

DOI10.2989/16073606.2014.981701zbMath1422.91653OpenAlexW2059456529MaRDI QIDQ2968662

Rodwell Kufakunesu

Publication date: 20 March 2017

Published in: Quaestiones Mathematicae (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2263/45384

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic volatilitysmooth solutionsemilinear partial differential equationtime-dependent utility functionutility optimisation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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