An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets (Q2873139)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets |
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An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets (English)
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23 January 2014
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Merton's problem
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Hamilton-Jacobi-Bellman equation
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Trotter-Kato splitting
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viscosity solutions
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