Portfolio Optimization with Stochastic Volatilities: A Backward Approach

DOI10.1080/07362994.2011.581065zbMath1244.91086OpenAlexW2033323548MaRDI QIDQ3094218

Amina Zeghal, Mohammed Mnif

Publication date: 21 October 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2011.581065

zbMATH Keywords

Hamilton-Jacobi-Bellman equationportfolio optimizationbackward stochastic differential equationsemi-linear partial differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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