Researchr is a web site for finding, collecting, sharing, and reviewing scientific publications, for researchers by researchers.
Sign up for an account to create a profile with publication list, tag and review your related work, and share bibliographies with your co-authors.
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]
Possibly Related PublicationsThe following publications are possibly variants of this publication: Numerical method for optimal portfolio in an exponential utility regime-switching modelMiglena N. Koleva, Lubin G. Vulkov. ijcm, 97(1-2):120-140, 2020. [doi] Positivity Preserving Numerical Method for Non-linear Black-Scholes ModelsMiglena N. Koleva. naa 2013: 363-370 [doi] Positivity Preserving Numerical Method for Optimal Portfolio in a Power Utility Two-Dimensional Regime-Switching ModelMiglena N. Koleva, Lubin G. Vulkov. nma 2019: 424-432 [doi]
The following publications are possibly variants of this publication: