We develop a simple and general method that transforms (non-linear) PDEs to ODEs . We apply our method to the stochastic portfolio model .
We overcome a major obstacle in mathematical optimization. In so doing, we provide a smooth solution to the HJB PDE without assuming the differentiability of the value function . We apply our method to financial models .
R
develop a simple and general method that transforms (non-linear) PDEs to ODEs
overcome a major obstacle in mathematical optimization. In so doing, we provide a smooth solution to the HJB PDE without assuming the differentiability of the value function
R
the stochastic portfolio model
financial models