All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

 
Moawia Alghalith
 
''Stochastic optimization without Ito's lemma: applications to the portfolio model''
( 2017, Vol. 37 No.4 )
 
 
We show that the key results of the stochastic models (that use stochastic calculus) can be easily derived using classical calculus and without restrictive assumptions. We apply our method to two major areas in stochastic analysis: optimization and partial differential equations. For example, we apply the method to the portfolio model and the Black-Scholes partial differential equations.
 
 
Keywords:
JEL: C6 - Mathematical Methods and Programming: General
 
Manuscript Received : Aug 08 2017 Manuscript Accepted : Nov 19 2017

  This abstract has been downloaded 1184 times                The Full PDF of this paper has been downloaded 164996 times