A numerical study for optimal portfolio regime-switching model. I: 2D Black-Scholes equation with an exponential non-linear term.
DOI10.1016/J.CAM.2016.01.012zbMATH Open1364.35376OpenAlexW2292440824WikidataQ115581085 ScholiaQ115581085MaRDI QIDQ507925FDOQ507925
Authors: Miglena N. Koleva, Lubin G. Vulkov 
Publication date: 9 February 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.01.012
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convergencestabilitymonotonicitysemilinear parabolic equationsign preservingoptimal portfolio regime-switching model
Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Semilinear parabolic equations (35K58)
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Cited In (5)
- Numerical method for optimal portfolio in an exponential utility regime-switching model
- Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
- Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
- Efficient finite difference method for optimal portfolio in a power utility regime-switching model
- Optimal harvesting policy of an inland fishery resource under incomplete information
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