Cooperative investment in a multi-period portfolio optimisation.
Publication Work Type
PhD
Publisher Name
World Scientific
Volume Number
2016
Issue Number
(1)
Conference Location
London, UK
Conference Name
the Eighth Saudi Students Conference in the UK, pages 599–609. World Scientific, 2016
Magazine \ Newspaper
In Proceedings of the Eighth Saudi Students Conference in the UK
Pages
599-609
Sponsoring Organization
Royal Embassy of Saudi Arabia Cultural Bureau
We study both Malliavin regularity and numerical approximation schemes for a class of quadratic backward stochastic differential equations (QBSDEs for short) in cases where the terminal data need…
MDPI
This paper tackles a stochastic control problem involving a backward stochastic
differential equation (BSDE) with a local Lipschitz coefficient and logarithmic growth.
We derive…
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