Advances in Difference Equations (Dec 2018)

Non-smooth analysis method in optimal investment-BSDE approach

  • Helin Wu,
  • Yong Ren,
  • Feng Hu

DOI
https://doi.org/10.1186/s13662-018-1920-4
Journal volume & issue
Vol. 2018, no. 1
pp. 1 – 13

Abstract

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Abstract In this paper, the investment process is modeled by backward stochastic differential equation. We investigate a necessary condition for optimal investment problem by the method of non-smooth analysis. Furthermore, some applications of our result are given.

Keywords