Dynamic Investment Strategies to Reaction–Diffusion Systems Based upon Stochastic Differential Utilities

Akira Kashiwabara () and Nobuhiro Nakamura ()

Asia-Pacific Financial Markets, 2011, vol. 18, issue 2, 150 pages

Keywords: Reaction–diffusion; Itô-Poisson process; Stochastic differential utility; Stochastic maximum principle; Forward-backward stochastic differential equation (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10690-010-9127-z

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