A computational method for stochastic optimal control problems in financial mathematics (Q2821285)
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scientific article; zbMATH DE number 6628390
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|---|---|---|---|
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| English | A computational method for stochastic optimal control problems in financial mathematics |
scientific article; zbMATH DE number 6628390 |
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19 September 2016
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stochastic optimal control problem
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Hamilton-Jacobi-Bellman equation
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variational iteration method
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Banach's fixed-point theorem
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Merton's portfolio selection model
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A computational method for stochastic optimal control problems in financial mathematics (English)
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0.8658648729324341
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0.7984219789505005
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0.7777349948883057
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0.7705554366111755
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0.7700507640838623
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