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:	Backward stochastic differential equation (BSDE) Non-smooth analysis Optimal investment
Online Access:	http://link.springer.com/article/10.1186/s13662-018-1920-4

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spelling	doaj-46b9bf45007a4284a923d161f89dbb912020-11-24T21:19:13ZengSpringerOpenAdvances in Difference Equations1687-18472018-12-012018111310.1186/s13662-018-1920-4Non-smooth analysis method in optimal investment-BSDE approachHelin Wu0Yong Ren1Feng Hu2School of Mathematics and Statistics, Chongqing University of TechnologyDepartment of Mathematics, Anhui Normal UniversitySchool of Statistics, Qufu Normal UniversityAbstract 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.http://link.springer.com/article/10.1186/s13662-018-1920-4Backward stochastic differential equation (BSDE)Non-smooth analysisOptimal investment
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Helin Wu Yong Ren Feng Hu
spellingShingle	Helin Wu Yong Ren Feng Hu Non-smooth analysis method in optimal investment-BSDE approach Advances in Difference Equations Backward stochastic differential equation (BSDE) Non-smooth analysis Optimal investment
author_facet	Helin Wu Yong Ren Feng Hu
author_sort	Helin Wu
title	Non-smooth analysis method in optimal investment-BSDE approach
title_short	Non-smooth analysis method in optimal investment-BSDE approach
title_full	Non-smooth analysis method in optimal investment-BSDE approach
title_fullStr	Non-smooth analysis method in optimal investment-BSDE approach
title_full_unstemmed	Non-smooth analysis method in optimal investment-BSDE approach
title_sort	non-smooth analysis method in optimal investment-bsde approach
publisher	SpringerOpen
series	Advances in Difference Equations
issn	1687-1847
publishDate	2018-12-01
description	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.
topic	Backward stochastic differential equation (BSDE) Non-smooth analysis Optimal investment
url	http://link.springer.com/article/10.1186/s13662-018-1920-4
work_keys_str_mv	AT helinwu nonsmoothanalysismethodinoptimalinvestmentbsdeapproach AT yongren nonsmoothanalysismethodinoptimalinvestmentbsdeapproach AT fenghu nonsmoothanalysismethodinoptimalinvestmentbsdeapproach
_version_	1726006455893491712

Non-smooth analysis method in optimal investment-BSDE approach

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