Dual method for continuous-time Markowitz's problems with nonlinear wealth equations (Q2268069)
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scientific article; zbMATH DE number 5679411
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| English | Dual method for continuous-time Markowitz's problems with nonlinear wealth equations |
scientific article; zbMATH DE number 5679411 |
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Dual method for continuous-time Markowitz's problems with nonlinear wealth equations (English)
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10 March 2010
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backward stochastic differential equation
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stochastic optimal control
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stochastic maximum principle
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continuous-time mean-variance portfolio selection model
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0.8796733617782593
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0.857732355594635
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0.8305055499076843
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0.8266082406044006
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0.8168899416923523
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