Browsing Theses by Subject "HJB PDE"
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Numerical Methods for Continuous Time Mean Variance Type Asset Allocation
(University of Waterloo, 2010-04-19)Many optimal stochastic control problems in finance can be formulated in the form of Hamilton-Jacobi-Bellman (HJB) partial differential equations (PDEs). In this thesis, a general framework for solutions of HJB PDEs in ...