Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization
Peter Imkeller and Anthony Réveillac; Jianing Zhang
| Year of publication: |
2011
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|---|---|
| Authors: | Imkeller, Peter ; Réveillac, Anthony ; Zhang, Jianing |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 5, p. 635-667
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| Subject: | BSDE | BSPDE | logarithmic transformation | distortion | quadratic growth | utility optimization | stochastic optimal control | numerical scheme | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Kontrolltheorie | Control theory | Simulation | Nutzen | Utility | Portfolio-Management | Portfolio selection | Numerisches Verfahren | Numerical analysis |
| Extent: | graph. Darst. |
|---|---|
| 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/10009298518