"Sub- and Supersolution Approach to Accuracy Analysis of Portfolio ..."

Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar (2022)

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DOI: 10.1137/21M1428625

access: closed

type: Journal Article

metadata version: 2022-07-25

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Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar:
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets. SIAM J. Financial Math. 13(1): 109-128 (2022)

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