Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach (Q5407987): Difference between revisions
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Revision as of 20:03, 19 March 2024
scientific article; zbMATH DE number 6281605
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach |
scientific article; zbMATH DE number 6281605 |
Statements
Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach (English)
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8 April 2014
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finite difference
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Hamilton-Jacobi-Bellman equation
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impulse control
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mean-variance
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viscosity solution
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