Miglena N. Koleva, Lubin G. Vulkov. A numerical study for optimal portfolio regime-switching model I. 2D Black-Scholes equation with an exponential non-linear term. J. Computational Applied Mathematics, 318:538-549, 2017. [doi]
@article{KolevaV17,
title = {A numerical study for optimal portfolio regime-switching model I. 2D Black-Scholes equation with an exponential non-linear term},
author = {Miglena N. Koleva and Lubin G. Vulkov},
year = {2017},
doi = {10.1016/j.cam.2016.01.012},
url = {http://dx.doi.org/10.1016/j.cam.2016.01.012},
researchr = {https://researchr.org/publication/KolevaV17},
cites = {0},
citedby = {0},
journal = {J. Computational Applied Mathematics},
volume = {318},
pages = {538-549},
}