A simple strong solution to non-linear stochastic HJB PDEs: an application to the portfolio model
AbstractWe devise a simple and general method for solving non-linear stochastic Hamilton-Jacobi-Bellman partial differential equations. We apply our method to the portfolio model.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1211.5816.
Date of creation: Nov 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-10 (All new papers)
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