Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection

DOI10.1016/j.spa.2007.07.005zbMath1152.60051OpenAlexW2010071176MaRDI QIDQ927920

Shige Peng, Shaolin Ji

Publication date: 10 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.spa.2007.07.005

zbMATH Keywords

backward stochastic differential equationEkeland's variational principledual methodcontinuous time mean-variance portfolio selectionterminal perturbation method

Mathematics Subject Classification ID

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

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