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112 days ago - q-fin updates on arXiv.org
This paper studies a continuous-time market {under stochastic environment}
where an agent, having specified an investment horizon and a target terminal
mean return, seeks to m...
205 days ago - q-fin updates on arXiv.org
We 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.
...
205 days ago - q-fin updates on arXiv.org
Backward stochastic partial differential equations of parabolic type in
bounded domains are studied in the setting where the coercivity condition is
not necessary satisfied an...
237 days ago - MoneyScience Twitter Stream
moneyscience: Research: Schauder a priori estimates and regularity of solutions to degenerate-elliptic linear second-order par... http://t.co/kVHUITJq