A method for solution of the Cauchy problem with polynomial coefficients and some applications to problems on management of investment portfolios

DOI10.1007/S10958-016-2927-6zbMATH Open1415.91250OpenAlexW2427782216MaRDI QIDQ308580FDOQ308580

Authors A. Z. Asekov, E. V. Kovalenko 

Publication date 6 September 2016

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-016-2927-6

zbMATH Keywords

Cauchy problemmanagement of investment portfoliospolynomial coefficients

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites Work

• Risk-sensitive dynamic asset management

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