Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection

Stochastic Processes and their Applications

Volumn 118, Issue 6, 2008, Pages 952-967

  Ji, Shaolin ^a   Peng, Shige ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

Backward stochastic differential equation (BSDE); Continuous time mean variance portfolio selection; Dual method; Ekeland's variational principle; Terminal perturbation method

Indexed keywords

NONLINEAR EQUATIONS; PERTURBATION TECHNIQUES; RANDOM PROCESSES; STOCHASTIC MODELS; TIME SERIES ANALYSIS;

BACKWARD STOCHASTIC DIFFERENTIAL EQUATION (BSDE); CONTINUOUS TIME MEAN VARIANCE PORTFOLIO SELECTION; DUAL METHODS; EKELAND'S VARIATIONAL PRINCIPLE; TERMINAL PERTURBATION METHODS;

DIFFERENTIAL EQUATIONS;

EID: 42649119115     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.07.005     Document Type: Article

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