that the investor knows the probability distribution of the real estate index. However, at the initial time, he has to … choose one deterministic optimal time to sell. The second one considers an investor who is perfectly informed about the … the realization of the random variable, the path is deterministic for this investor. Therefore, at the initial time, he …

explicit results in the existing literature are derived as special cases of the general theory. …

are integrated into one MSP formulation, and in a short computational time produce a solution, which takes into account …

We present efficient partial differential equation (PDE) methods for continuous time mean-variance portfolio allocation …

objective is to maximize for a fixed time horizon, the expected terminal utility of wealth. For the exponential utility function …

-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB style asymptotic … dimensionality. Computer code implementation of the method using modest computational resources runs essentially in real time. We …

explicit results in the existing literature are derived as special cases of the general theory. -- Optimal control ; investment … theory ; filtering …