McKean–Vlasov Limit in Portfolio Optimization

DOI10.1080/07362994.2010.482836zbMath1232.91607OpenAlexW1972037686MaRDI QIDQ4932836

K. Suresh Kumar, Vivek S. Borkar

Publication date: 7 October 2010

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

Full work available at URL: https://doi.org/10.1080/07362994.2010.482836

zbMATH Keywords

nonlinear parabolic equationportfolio optimizationMcKean-Vlasov equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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