An analytical solution for the HJB equation arising from the Merton problem
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DOI: 10.1142/S2424786318500081
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- Christelle Dleuna Nyoumbi & Antoine Tambue, 2023. "A Novel High Dimensional Fitted Scheme for Stochastic Optimal Control Problems," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 1-34, January.
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Keywords
Optimal portfolio selection; homotopy analysis method; Hamilton–Jacobi–Bellman equation; Merton problem;All these keywords.
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