The Fréchet–Newton Scheme for SV-HJB: Stability Analysis via Fixed-Point Theory
This paper investigates the optimal portfolio control problem under a stochastic volatility model, whose dynamics are governed by a highly nonlinear Hamilton–Jacobi–Bellman equation. We employ a separable value function and introduce a novel exponential approximation technique to simplify the nonlin...
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| Principais autores: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI AG
2026-01-01
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| Colecção: | Axioms |
| Assuntos: | |
| Acesso em linha: | https://www.mdpi.com/2075-1680/15/2/83 |
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