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.
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2018-12-01
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| Series: | Advances in Difference Equations |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13662-018-1920-4 |