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Numerical Methods

In: RISK-SENSITIVE INVESTMENT MANAGEMENT

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  • Mark H. A. Davis
  • Sébastien Lleo

Abstract

An important feature of the diffusion-based models presented in Part I is that they can be solved analytically, and as such do not require additional work to get the optimal investment strategy and the value function (aside from solving a Riccati equation and a linear ODE)…

Suggested Citation

  • Mark H. A. Davis & Sébastien Lleo, 2014. "Numerical Methods," World Scientific Book Chapters, in: RISK-SENSITIVE INVESTMENT MANAGEMENT, chapter 14, pages 349-365, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814578059_0014
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