Optimal selection portfolio problem: a semi-linear PDE approach
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backward stochastic differential equationoptimal portfolioregression on function basessemi-linear partial differential equationsmooth solutionstochastic volatility
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20)
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Cites work
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- scientific article; zbMATH DE number 3148886 (Why is no real title available?)
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- Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
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- Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
- Optimum consumption and portfolio rules in a continuous-time model
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
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Cited in
(4)- Portfolio optimization with stochastic volatilities and constraints: an application in high dimension
- An efficient numerical method for the robust optimal investment problem with general utility functions
- scientific article; zbMATH DE number 5845882 (Why is no real title available?)
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