A new stochastic factor model: general explicit solutions
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Publication:847280
DOI10.1016/J.AML.2009.07.011zbMath1183.91160OpenAlexW2079273379MaRDI QIDQ847280
Publication date: 12 February 2010
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2009.07.011
Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
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