We establish a stochastic representation for a class of nonlocal parabolic terminal-boundary value problems, whose terminal and boundary conditions depend on the solution in the interior domain; in particular, the solution is represented as the expectation of functionals of a diffusion process...

Portfolio selection is vulnerable to the error-amplifying effects of combining optimization with statistical estimation and model error. For dynamic portfolio control, sources of model error include the evolution of market factors and the influence of these factors on asset returns. We develop...