Optimal selection portfolio problem: a semi-linear PDE approach

DOI10.1080/17442508.2010.514916zbMath1251.91057MaRDI QIDQ4648583

Amina Zeghal, Mohammed Mnif

Publication date: 9 November 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.514916

zbMATH Keywords

stochastic volatility; backward stochastic differential equation; smooth solution; optimal portfolio; semi-linear partial differential equation; regression on function bases

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences