A note on transforming PDEs to ODEs

M. Alghalith ()
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M. Alghalith: University of the West Indies, St Augustine, Trinidad and Tobago

International Journal of Financial Engineering (IJFE), 2015, vol. 02, issue 03, 1-4

Abstract: In this paper, we develop a simple and general method that transforms (nonlinear) PDEs to ODEs. We apply our method to the stochastic portfolio model.

Keywords: HJB PDEs; ODEs; portfolio; stochastic factor; investment (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S2424786315500322

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