Matches in SemOpenAlex for { <https://semopenalex.org/work/W3122016031> ?p ?o ?g. }
Showing items 1 to 81 of
81
with 100 items per page.
- W3122016031 abstract "This paper concerns the numerical solution of the finite-horizon Optimal Investment problem with transaction costs under Potential Utility. The problem is initially posed in terms of an evolutive HJB equation with gradient constraints. In Finite-Horizon Optimal Investment with Transaction Costs: A Parabolic Double Obstacle Problem, Day-Yi, the problem is reformulated as a non-linear parabolic double obstacle problem posed in one spatial variable and defined in an unbounded domain where several explicit properties and formulas are obtained. The restatement of the problem in polar coordinates allows to pose the problem in one spatial variable in a finite domain, avoiding some of the technical difficulties of the numerical solution of the previous statement of the problem. If high precision is required, the spectral numerical method proposed becomes more efficient than simpler methods as finite differences for example." @default.
- W3122016031 created "2021-02-01" @default.
- W3122016031 creator A5041081477 @default.
- W3122016031 creator A5087863875 @default.
- W3122016031 date "2016-12-01" @default.
- W3122016031 modified "2023-09-27" @default.
- W3122016031 title "A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility" @default.
- W3122016031 hasPublicationYear "2016" @default.
- W3122016031 type Work @default.
- W3122016031 sameAs 3122016031 @default.
- W3122016031 citedByCount "0" @default.
- W3122016031 crossrefType "posted-content" @default.
- W3122016031 hasAuthorship W3122016031A5041081477 @default.
- W3122016031 hasAuthorship W3122016031A5087863875 @default.
- W3122016031 hasConcept C10138342 @default.
- W3122016031 hasConcept C126255220 @default.
- W3122016031 hasConcept C132369183 @default.
- W3122016031 hasConcept C134306372 @default.
- W3122016031 hasConcept C159176650 @default.
- W3122016031 hasConcept C161999928 @default.
- W3122016031 hasConcept C162324750 @default.
- W3122016031 hasConcept C17744445 @default.
- W3122016031 hasConcept C182365436 @default.
- W3122016031 hasConcept C196978813 @default.
- W3122016031 hasConcept C199539241 @default.
- W3122016031 hasConcept C2524010 @default.
- W3122016031 hasConcept C27548731 @default.
- W3122016031 hasConcept C2776650193 @default.
- W3122016031 hasConcept C28826006 @default.
- W3122016031 hasConcept C33923547 @default.
- W3122016031 hasConcept C36503486 @default.
- W3122016031 hasConcept C91575142 @default.
- W3122016031 hasConcept C94625758 @default.
- W3122016031 hasConcept C98965940 @default.
- W3122016031 hasConceptScore W3122016031C10138342 @default.
- W3122016031 hasConceptScore W3122016031C126255220 @default.
- W3122016031 hasConceptScore W3122016031C132369183 @default.
- W3122016031 hasConceptScore W3122016031C134306372 @default.
- W3122016031 hasConceptScore W3122016031C159176650 @default.
- W3122016031 hasConceptScore W3122016031C161999928 @default.
- W3122016031 hasConceptScore W3122016031C162324750 @default.
- W3122016031 hasConceptScore W3122016031C17744445 @default.
- W3122016031 hasConceptScore W3122016031C182365436 @default.
- W3122016031 hasConceptScore W3122016031C196978813 @default.
- W3122016031 hasConceptScore W3122016031C199539241 @default.
- W3122016031 hasConceptScore W3122016031C2524010 @default.
- W3122016031 hasConceptScore W3122016031C27548731 @default.
- W3122016031 hasConceptScore W3122016031C2776650193 @default.
- W3122016031 hasConceptScore W3122016031C28826006 @default.
- W3122016031 hasConceptScore W3122016031C33923547 @default.
- W3122016031 hasConceptScore W3122016031C36503486 @default.
- W3122016031 hasConceptScore W3122016031C91575142 @default.
- W3122016031 hasConceptScore W3122016031C94625758 @default.
- W3122016031 hasConceptScore W3122016031C98965940 @default.
- W3122016031 hasLocation W31220160311 @default.
- W3122016031 hasOpenAccess W3122016031 @default.
- W3122016031 hasPrimaryLocation W31220160311 @default.
- W3122016031 hasRelatedWork W1553526582 @default.
- W3122016031 hasRelatedWork W1567978244 @default.
- W3122016031 hasRelatedWork W2158999377 @default.
- W3122016031 hasRelatedWork W2219125947 @default.
- W3122016031 hasRelatedWork W2599366629 @default.
- W3122016031 hasRelatedWork W2606762831 @default.
- W3122016031 hasRelatedWork W2892435576 @default.
- W3122016031 hasRelatedWork W2907830265 @default.
- W3122016031 hasRelatedWork W2949952863 @default.
- W3122016031 hasRelatedWork W2952595581 @default.
- W3122016031 hasRelatedWork W2952759958 @default.
- W3122016031 hasRelatedWork W3122250159 @default.
- W3122016031 hasRelatedWork W3123003052 @default.
- W3122016031 hasRelatedWork W3124872398 @default.
- W3122016031 hasRelatedWork W3125316440 @default.
- W3122016031 hasRelatedWork W3125516344 @default.
- W3122016031 hasRelatedWork W3125547173 @default.
- W3122016031 hasRelatedWork W3126583647 @default.
- W3122016031 hasRelatedWork W3155416378 @default.
- W3122016031 hasRelatedWork W51252264 @default.
- W3122016031 isParatext "false" @default.
- W3122016031 isRetracted "false" @default.
- W3122016031 magId "3122016031" @default.
- W3122016031 workType "article" @default.