Convergence in multiscale financial models with non-Gaussian stochastic volatility (Q2808055): Difference between revisions

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Latest revision as of 02:08, 12 July 2024

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Convergence in multiscale financial models with non-Gaussian stochastic volatility
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    Convergence in multiscale financial models with non-Gaussian stochastic volatility (English)
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    26 May 2016
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    portfolio optimization
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    stochastic control system
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    singular perturbation
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    mean reverting volatility
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    jump process
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    multiple scale
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    Hamilton-Jacobi-Bellman equation
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    viscosity solution
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