On Regularity of Primal and Dual Dynamic Value Functions...

SIAM Journal on Financial Mathematics 2017 / 01 Vol. 8; Iss. 1

On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions

Mania, Michael, Tevzadze, Revaz
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Volume:
8
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/16M1060558
Date:
January, 2017
File:
PDF, 358 KB
english, 2017
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