Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets
DOI10.1137/21M1428625zbMath1483.91214arXiv2106.11510OpenAlexW4210689959MaRDI QIDQ5029934
Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar
Publication date: 15 February 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2106.11510
stochastic volatilityportfolio optimizationutility maximizationsubsolutionsupersolutionrigorous asymptotics
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Asymptotic expansions of solutions to PDEs (35C20) Portfolio theory (91G10)
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