Please use this identifier to cite or link to this item: http://hdl.handle.net/10525/2733

 Title: Optimal investment under stochastic volatility and power type utility function Authors: Benchaabane, AbbesBenchettah, Azzedine Keywords: Hamilton-Jacobi-Bellman EquationInvariant MeasureMean-Reverting ProcessOptimal Stochastic ControlStochastic Volatility Issue Date: 2011 Publisher: Institute of Mathematics and Informatics Bulgarian Academy of Sciences Citation: Serdica Mathematical Journal, Vol. 37, No 3, (2011), 237p-250p Abstract: In this work we will study a problem of optimal investment in financial markets with stochastic volatility with small parameter. We used the averaging method of Bogoliubov for limited development for the optimal strategies when the small parameter of the model tends to zero and the limit for the optimal strategy and demonstrated the convergence of these optimal strategies. Description: 2000 Mathematics Subject Classification: 37F21, 70H20, 37L40, 37C40, 91G80, 93E20. URI: http://hdl.handle.net/10525/2733 ISSN: 1310-6600 Appears in Collections: Volume 37, Number 3

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