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Property / full work available at URL: https://doi.org/10.1002/asjc.1242 / rank
 
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Latest revision as of 15:04, 12 July 2024

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A Computational Method for Stochastic Optimal Control Problems in Financial Mathematics
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    A Computational Method for Stochastic Optimal Control Problems in Financial Mathematics (English)
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    19 September 2016
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    stochastic optimal control problem
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    Hamilton-Jacobi-Bellman equation
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    variational iteration method
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    Banach's fixed-point theorem
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    Merton's portfolio selection model
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