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

DOI10.1007/S10690-010-9127-ZMaRDI QIDQ538320zbMATHOpenAlexFDO

Authors Akira Kashiwabara, Nobuhiro Nakamura

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 utilityItō-Poisson process

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
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• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Numerical approach to asset pricing models with stochastic differential utility
• Numerical method for backward stochastic differential equations
• On solutions of backward stochastic differential equations with jumps and applications
• Optimal consumption and portfolio selection with stochastic differential utility
• PDE approach to valuation and hedging of credit derivatives
• Probabilistic interpretation of a system of semilinear parabolic partial differential equations
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Stochastic Differential Utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Cited in

(3)

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

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