Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities

DOI10.1007/S10690-010-9127-ZzbMATH Open1275.91123OpenAlexW2047386662MaRDI QIDQ538320FDOQ538320

Nobuhiro Nakamura, Akira Kashiwabara

Publication date: 25 May 2011

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-010-9127-z

zbMATH Keywords

forward-backward stochastic differential equationreaction-diffusionstochastic maximum principlestochastic differential utility[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD-Poisson+process&go=Go It��-Poisson process]

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

Cites Work

• Title not available (Why is that?)
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• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
• PDE approach to valuation and hedging of credit derivatives
• On solutions of backward stochastic differential equations with jumps and applications
• Probabilistic interpretation of a system of semilinear parabolic partial differential equations
• Backward stochastic differential equations with constraints on the gains-process
• Numerical approach to asset pricing models with stochastic differential utility

Cited In (3)

• Optimal consumption and investment for a large investor: an intensity-based control framework
• Mean square finite-time boundary stabilisation and H∞ boundary control for stochastic reaction-diffusion systems
• On Optimization of Long-Term Irreversible Investments in a Diffusion Model

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