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Non-smooth analysis method in optimal investment-BSDE approach
Work
Year: 2018
Type: article
Abstract: In this paper, the investment process is modeled by backward stochastic differential equation. We investigate a necessary condition for optimal investment problem by the method of non-smooth analysis.... more
Source: Advances in Difference Equations
Authors Helin Wu, Yong Ren, Feng Hu
Institutions Chongqing University of Technology, Anhui Normal University, Qufu Normal University
Cites: 24
Cited by: 1
Related to: 10
FWCI: 0.274
Citation percentile (by year/subfield): 49.65
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,300
Funders National Natural Science Foundation of China, National Natural Science Foundation of China
Grant IDS 11801307, 11871076