A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory (Q2171069)
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scientific article; zbMATH DE number 7590598
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| English | A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory |
scientific article; zbMATH DE number 7590598 |
Statements
A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory (English)
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23 September 2022
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portfolio optimization
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Hamilton-Jacobi-Bellman equation
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stochastic delay factors
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optimal stochastic control
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0.8346705436706543
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0.8052619099617004
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0.7592418193817139
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0.7544737458229065
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0.7526373267173767
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