A note on transforming a weak solution to PDE to a smooth solution

Moawia Alghalith ()
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Moawia Alghalith: Economics Department, UWI, St. Augustine, Trinidad

International Journal of Financial Engineering (IJFE), 2016, vol. 03, issue 03, 1-4

Abstract: This is paper, we develop a simple method that transforms weak solutions to PDEs to smooth solutions. We apply our method to the portfolio model.

Keywords: HJB PDEs; viscosity solution; portfolio; stochastic factor; investment (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1142/S2424786316500201

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