Sensitivity analysis for expected utility maximization in incomplete Brownian market models
From MaRDI portal
Publication:1648899
DOI10.1007/s11579-017-0209-9zbMath1397.91545arXiv1504.02734MaRDI QIDQ1648899
Publication date: 5 July 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.02734
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G10: Portfolio theory