Stochastic optimization without Ito's lemma: applications to the portfolio model

Moawia Alghalith ()
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Moawia Alghalith: UWI, St Augustine

Economics Bulletin, 2017, vol. 37, issue 4, 2533-2536

Abstract: We show that the key results of the stochastic models (that use stochastic calculus) can be easily derived using classical calculus and without restrictive assumptions. We apply our method to two major areas in stochastic analysis: optimization and partial differential equations. For example, we apply the method to the portfolio model and the Black-Scholes partial differential equations.

JEL-codes: C6 (search for similar items in EconPapers)
Date: 2017-11-19
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