Malliavin method for optimal investment in financial markets with memory
We consider a financial market with memory effects in which wealth processes are driven by mean-field stochastic Volterra equations. In this financial market, the classical dynamic programming method can not be used to study the optimal investment problem, because the solution of mean-field stochast...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2016-01-01
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| Series: | Open Mathematics |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/math-2016-0027 |