A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
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Publication:475326
DOI10.1007/s11579-014-0128-yzbMath1303.49008arXiv1405.3566MaRDI QIDQ475326
Publication date: 26 November 2014
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.3566
smooth solutions; semilinear parabolic equations; optimal stochastic control; stochastic volatilities
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
49J55: Existence of optimal solutions to problems involving randomness
35K58: Semilinear parabolic equations
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