Multidimensional investment problem
type: Item
instance of: scholarly article
title: Multidimensional investment problem
zbMATH Open document ID: 1404.91255
author: Sören Christensen
author: Paavo Salminen
published in: Mathematics and Financial Economics
publication date: 2018-03-01T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 6845619
zbMATH Keywords: geometric Brownian motion
zbMATH Keywords: convex set
zbMATH Keywords: resolvent kernel
zbMATH Keywords: duality
zbMATH Keywords: integral representation of excessive function
zbMATH Keywords: optimal investment problem
zbMATH Keywords: American put option
zbMATH Keywords: integral equation
MaRDI profile type: Publication
full work available at URL: s11579-017-0195-y
OpenAlex ID: W2742332334
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DOI: 10.1007/S11579-017-0195-Y
description: scientific article; zbMATH DE number 6845619