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ralph lauren polo

 
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

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