Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility

DOI10.1137/090748147zbMath1189.35020OpenAlexW2047641866MaRDI QIDQ3563693

Annalisa Cesaroni, Luigi Manca, Martino Bardi

Publication date: 1 June 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/6575fa878f5ea335e41a2350a1b881891f00a66d

zbMATH Keywords

asymptotic approximationportfolio optimizationfast time scale

Mathematics Subject Classification ID

Singular perturbations in context of PDEs (35B25) Time-scale analysis and singular perturbations in control/observation systems (93C70) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Viscosity solutions to PDEs (35D40)

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