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scientific article; zbMATH DE number 7499615

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 7499615

Statements

scholarly article

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publication date

29 March 2022

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zbMATH Keywords

Merton problem

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optimal investment

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deep learning algorithm

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deep Galerkin method

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Computational Methods for Option Pricing

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Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type

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Nonlinear parabolic equations with measure data

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Summability and existence results for nonlinear parabolic equations

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Optimal investment in markets with over and under-reaction to information

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Optimal investment with inside information and parameter uncertainty

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Nonlinear Partial Differential Equations for Scientists and Engineers

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EXISTENCE RESULT FOR NONLINEAR PARABOLIC EQUATIONS WITH LOWER ORDER TERMS

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On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

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STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS

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Solving high-dimensional partial differential equations using deep learning

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Optimal consumption and investment strategies with partial and private information in a multi-asset setting

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Optimal portfolios of a small investor in a limit order market: a shadow price approach

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Neural algorithm for solving differential equations

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Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets

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Existence results for a Cauchy-Dirichlet parabolic problem with a repulsive gradient term

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Numerical solution for high order differential equations using a hybrid neural network-optimization method

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The opportunity process for optimal consumption and investment with power utility

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Optimal mean-variance portfolio selection

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Existence of solutions for some ``noncoercive'' parabolic equations

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Compact sets in the space \(L^ p(0,T;B)\)

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DGM: a deep learning algorithm for solving partial differential equations

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Identifiers

zbMATH Open document ID

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10.4134/JKMS.j210168

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5066183

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