Efficient finite difference method for optimal portfolio in a power utility regime-switching model (Q5031703)
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scientific article; zbMATH DE number 7474730
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| English | Efficient finite difference method for optimal portfolio in a power utility regime-switching model |
scientific article; zbMATH DE number 7474730 |
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Efficient finite difference method for optimal portfolio in a power utility regime-switching model (English)
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16 February 2022
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regime-switching model
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indifference pricing
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semi-linear parabolic system
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exponential nonlinearity
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flux-limiter
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positivity preserving
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0.894202709197998
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0.8330917358398438
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0.8226193785667419
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0.7884038686752319
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