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-yzbMath1303.49008arXiv1405.3566OpenAlexW2155942270MaRDI 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
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Existence of optimal solutions to problems involving randomness (49J55) Semilinear parabolic equations (35K58)
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