Malliavin method for optimal investment in financial markets with memory
DOI10.1515/MATH-2016-0027zbMath1347.60081OpenAlexW2405583460MaRDI QIDQ317870
Qiguang An, Gaofeng Zong, Guo-Qing Zhao
Publication date: 4 October 2016
Published in: Open Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/math-2016-0027
memory effectsMalliavin derivativeoptimal investmentfinancial marketmean-field backward stochastic Volterra equationsmean-field stochastic maximum principle
Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Optimality conditions for problems involving randomness (49K45) Stochastic integral equations (60H20)
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Cites Work
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