On the parabolic equation for portfolio problems

DOI10.4064/bc122-16zbMath1460.91257arXiv2003.13317OpenAlexW3013297874MaRDI QIDQ4989156

Dariusz Zawisza

Publication date: 20 May 2021

Published in: Banach Center Publications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.13317

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Semilinear parabolic equations (35K58)

Related Items (1)

The investor problem based on the HJM model

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