Continuous time mean-variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach
Dang, Duy-Minh, Forsyth, Peter A.Volume:
30
Langue:
english
Journal:
Numerical Methods for Partial Differential Equations
DOI:
10.1002/num.21836
Date:
March, 2014
Fichier:
PDF, 408 KB
english, 2014