Two Optimization Problems of a Continuous-in-Time Financial Model

Continuous time portfolio optimization

This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...

Inverse problem stability of a continuous-in-time financial model

In this work, we study the inverse problem stability of the continuous-in-time model which is designed to be used for the finances of public institutions. We discuss this study with determining the Loan Measure from Algebraic Spending Measure in Radon measure spaceM([tI,Θmax]), and in Hilbert space L([tI,Θmax]) when they are density measures. For this inverse problem we prove the uniqueness the...

a cross-comparative dtudy between two textbook series in terms of the presentation of politeness

چکیده ندارد.

Continuous-Time Optimization Problems via KT-Invexity

We prove that the notion of KT-invexity for continuous-time nonlinear optimization problem is a necessary and sufficient condition for global optimality of a KarushKuhn-Tucker point.

Financial Mathematics in Continuous Time