Optimal selection portfolio problem: a semi-linear PDE approach
DOI10.1080/17442508.2010.514916zbMath1251.91057OpenAlexW2035817749MaRDI QIDQ4648583
Publication date: 9 November 2012
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2010.514916
stochastic volatilitybackward stochastic differential equationsmooth solutionoptimal portfoliosemi-linear partial differential equationregression on function bases
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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