Non-smooth analysis method in optimal investment-BSDE approach

Abstract In this paper, the investment process is modeled by backward stochastic differential equation. We investigate a necessary condition for optimal investment problem by the method of non-smooth analysis. Furthermore, some applications of our result are given.

Bibliographic Details
Main Authors: Helin Wu, Yong Ren, Feng Hu
Format: Article
Language:English
Published: SpringerOpen 2018-12-01
Series:Advances in Difference Equations
Subjects:
Online Access:http://link.springer.com/article/10.1186/s13662-018-1920-4
Description
Summary:Abstract In this paper, the investment process is modeled by backward stochastic differential equation. We investigate a necessary condition for optimal investment problem by the method of non-smooth analysis. Furthermore, some applications of our result are given.
ISSN:1687-1847