Solution of a two-dimensional stochastic investment problem

DOI10.1016/S0096-3003(97)10155-2MaRDI QIDQ1294193zbMATH OpenOpenAlexFDO

Authors O. O. Ugbebor, Stephen E. Onah

Publication date 29 June 1999

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0096-3003(97)10155-2

zbMATH Keywords

stochastic differential equationfinite difference method

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 176009 (Why is no real title available?)
• A Class of Solvable Stochastic Investment Problems Involving Singular Controls
• Linear and quasilinear elliptic equations
• Stochastic differential equations. An introduction with applications

Cited in

(3)

• Solution of a class of investment developmental equations
• scientific article; zbMATH DE number 1069534 (Why is no real title available?)
• Symmetry-based solution of a model for a combination of a risky investment and a riskless investment

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