Fri, 01 Feb 2008
13:15
DH 1st floor SR

Stochastics partial differential equations and portfolio choice

Thaleia Zariphopoulou
(Austin)
Abstract

In this paper we derive a stochastic partial di¤erential equation whose solutions are processes relevant to the portfolio choice problem. The mar- ket is incomplete and asset prices are modelled as Ito processes. We provide solutions of the SPDE for various choices of its volatility coe¢ - cient. We also show how to imbed the classical Merton problem into our framework.

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