A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
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Publication:5312729
DOI10.1081/SAP-200064457zbMath1074.60068MaRDI QIDQ5312729
Fred Espen Benth, Kenneth Hvistendahl Karlsen
Publication date: 25 August 2005
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equationdynamic programmingportfolio optimizationmean-reversionverification theoremCole-Hopf transform
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)
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