scientific article; zbMATH DE number 5283952
From MaRDI portal
Publication:3501239
zbMATH Open1150.91375MaRDI QIDQ3501239FDOQ3501239
Authors: Limin Liu, Baoqing Niu, Xin Yang, Yuliang Zhao 
Publication date: 3 June 2008
Title of this publication is not available (Why is that?)
Recommendations
- Exact solution of an optimal control problem of investment in a diffusion model
- Diffusion approximation and optimal investment for modern risk model
- Optimal investment in multidimensional Markov-modulated affine models
- On Optimization of Long-Term Irreversible Investments in a Diffusion Model
- Optimization of investment-dividend problem in a diffusion model with transaction costs and investment constraints
- Asymptotically optimal investment for risk model with random income and diffusions
- scientific article; zbMATH DE number 2110605
- scientific article; zbMATH DE number 2218946
- Optimal investment with high-watermark fee in a multidimensional jump diffusion model
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
Cited In (10)
- Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities
- Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation†
- An optimal investment portfolios model among different regions with investment sunk cost
- On Optimization of Long-Term Irreversible Investments in a Diffusion Model
- Title not available (Why is that?)
- The optimal investment portfolio policy based on the stochastic volatility
- Solution of a two-dimensional stochastic investment problem
- Optimal stopping problem and investment models
- Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter
- Title not available (Why is that?)
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3501239)
