Multidimensional investment problem (Q1702880)

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Multidimensional investment problem
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    Statements

    title
    Multidimensional investment problem (English)
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    author
    Sören Christensen
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    Paavo H. Salminen
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    publication date
    1 March 2018
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    zbMATH Keywords
    geometric Brownian motion
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    convex set
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    resolvent kernel
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    duality
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    integral representation of excessive function
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    optimal investment problem
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    American put option
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    integral equation
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    60J70
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    60G51
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    zbMATH DE Number
    6845619
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