Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
- Author
- SHAOLIN JI1 ; SHIGE PENG1
[1] School of Mathematics and System Sciences, Shandong University, Jinan 250100, China - Source
Stochastic processes and their applications. 2008, Vol 118, Num 6, pp 952-967, 16 p ; ref : 23 ref
- CODEN
- STOPB7
- ISSN
- 0304-4149
- Scientific domain
- Computer science; Mathematics
- Publisher
- Elsevier Science, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- 60H30 93E20 Backward stochastic differential equation (BSDE) Continuous time mean-variance portfolio selection Dual method Ekeland's variational principle Terminal perturbation method
- Keyword (fr)
- Application Condition nécessaire Equation différentielle stochastique rétrograde Equation non linéaire Etude méthode Méthode perturbation Principe maximum Principe variationnel Processus stochastique Sélection portefeuille Temps continu Variance 62J10 Temps moyen
- Keyword (en)
- Application Necessary condition Backward stochastic differential equation Non linear equation Method study Perturbation method Maximum principle Variational principle Stochastic process Portfolio selection Continuous time Variance
- Keyword (es)
- Aplicación Condición necesaria Ecuación diferencial estocástica hacia atrás Ecuación no lineal Estudio método Método perturbación Principio máximo Principio variacional Proceso estocástico Selección cartera Tiempo continuo Variancia
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01H Stochastic processes
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01I Stochastic analysis
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02J Linear inference, regression
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 20349416
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.spa.2007.07.005 
https://dx.doi.org/10.1016/j.spa.2007.07.005
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