Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management
- Author
- MARCOZZI, Michael D1
[1] Department of Mathematical Sciences, University of Nevada Las Vegas, NV 89154-4020, United States - Source
Journal of computational and applied mathematics. 2008, Vol 222, Num 1, pp 112-127, 16 p ; ref : 48 ref
- CODEN
- JCAMDI
- ISSN
- 0377-0427
- Scientific domain
- Computer science; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- 35K70 49L99 91B28 Hamilton-Jacobi theory Option pricing Stochastic control Ultradiffusion Ultraparabolic
- Keyword (fr)
- Analyse numérique Approximation Commande optimale Commande processus Equation Hamilton Jacobi Fixation prix Mathématiques appliquées Méthode élément fini Processus stochastique Solution faible Temps continu Unicité solution 49Lxx 49XX
- Keyword (en)
- Numerical analysis Approximation Optimal control Process control Hamilton Jacobi equation Pricing Applied mathematics Finite element method Stochastic process Weak solution Continuous time Solution uniqueness
- Keyword (es)
- Análisis numérico Aproximación Control óptimo Control proceso Ecuación Hamilton Jacobi Fijación precios Matemáticas aplicadas Método elemento finito Proceso estocástico Solución débil Tiempo continuo Unicidad solución
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02E Mathematical analysis / 001A02E18 Calculus of variations and optimal control
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 20775004
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.cam.2007.10.018 
https://dx.doi.org/10.1016/j.cam.2007.10.018
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