A Computational Method for Stochastic Optimal Control Problems in Financial Mathematics (Q2821285): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Computational Method for Stochastic Optimal Control Problems in Financial Mathematics |
scientific article |
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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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