Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management
type: Item
instance of: scholarly article
title: Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management
zbMATH Open document ID: 1152.91537
author: Michael D. Marcozzi
published in: Journal of Computational and Applied Mathematics
publication date: 2008-11-06T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 49L99
Mathematics Subject Classification ID: 35K70
Mathematics Subject Classification ID: 93E99
zbMATH DE Number: 5362089
zbMATH Keywords: stochastic control
zbMATH Keywords: Hamilton-Jacobi theory
zbMATH Keywords: ultradiffusion
zbMATH Keywords: ultraparabolic
zbMATH Keywords: option pricing
MaRDI profile type: Publication
full work available at URL: j.cam.2007.10.018
OpenAlex ID: W2086387995
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DOI: 10.1016/J.CAM.2007.10.018
description: scientific article; zbMATH DE number 5362089