Numerical approach to asset pricing models with stochastic differential utility

DOI10.1007/s10690-005-9003-4zbMath1147.91328OpenAlexW1977778540MaRDI QIDQ853855

Nobuhiro Nakamura

Publication date: 17 November 2006

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

Full work available at URL: https://doi.org/10.1007/s10690-005-9003-4

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

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

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