Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization (Q3592750)
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scientific article; zbMATH DE number 5194570
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization |
scientific article; zbMATH DE number 5194570 |
Statements
Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization (English)
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21 September 2007
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HJI equations
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portfolio optimization
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switching diffusion processes
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value functions
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viscosity solutions
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0.8522232174873352
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0.8480531573295593
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0.8358232378959656
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0.8258662819862366
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