An Explicit Solution for Optimal Investment in Heston Model

DOI10.1137/S0040585X97T987946zbMath1355.35183arXiv1505.02431MaRDI QIDQ3178733

Elena Boguslavskaya, Dmitry Muravey

Publication date: 7 December 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.02431

zbMATH Keywords

optimal control problemHeston modelWhittaker model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Financial applications of other theories (91G80) Existence theories for optimal control problems involving partial differential equations (49J20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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