On the multi-dimensional portfolio optimization with stochastic volatility

DOI10.2989/16073606.2017.1369468zbMath1426.91251OpenAlexW2755720352MaRDI QIDQ5236140

Rodwell Kufakunesu

Publication date: 15 October 2019

Published in: Quaestiones Mathematicae (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2263/67105

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic volatilitysmooth solutiontime-dependentutility optimizationsemilinear partial differential equation

Mathematics Subject Classification ID

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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