A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
Yalçin Aktar; Erik Taflin
| Year of publication: |
2014
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|---|---|
| Authors: | Aktar, Yalçin ; Taflin, Erik |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 8.2014, 4, p. 489-509
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| Subject: | Optimal stochastic control | Smooth solutions | Semilinear parabolic equations | Stochastic volatilities | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Volatilität | Volatility | Kostenfunktion | Cost function | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010491879