Log InRegister
Quick Links : The Mindat ManualThe Rock H. Currier Digital LibraryMindat Newsletter [Free Download]
Home PageAbout MindatThe Mindat ManualHistory of MindatCopyright StatusWho We AreContact UsAdvertise on Mindat
Donate to MindatCorporate SponsorshipSponsor a PageSponsored PagesMindat AdvertisersAdvertise on Mindat
Learning CenterWhat is a mineral?The most common minerals on earthInformation for EducatorsMindat ArticlesThe ElementsThe Rock H. Currier Digital LibraryGeologic Time
Minerals by PropertiesMinerals by ChemistryAdvanced Locality SearchRandom MineralRandom LocalitySearch by minIDLocalities Near MeSearch ArticlesSearch GlossaryMore Search Options
Search For:
Mineral Name:
Locality Name:
Keyword(s):
 
The Mindat ManualAdd a New PhotoRate PhotosLocality Edit ReportCoordinate Completion ReportAdd Glossary Item
Mining CompaniesStatisticsUsersMineral MuseumsClubs & OrganizationsMineral Shows & EventsThe Mindat DirectoryDevice SettingsThe Mineral Quiz
Photo SearchPhoto GalleriesSearch by ColorNew Photos TodayNew Photos YesterdayMembers' Photo GalleriesPast Photo of the Day GalleryPhotography

Koleva, Miglena N., Vulkov, Lubin G. (2020) Numerical method for optimal portfolio in an exponential utility regime-switching model. International Journal of Computer Mathematics, 97. 120-140 doi:10.1080/00207160.2018.1440289

Advanced
   -   Only viewable:
Reference TypeJournal (article/letter/editorial)
TitleNumerical method for optimal portfolio in an exponential utility regime-switching model
JournalInternational Journal of Computer Mathematics
AuthorsKoleva, Miglena N.Author
Vulkov, Lubin G.Author
Year2020 (February 1)Volume97
PublisherInforma UK Limited
DOIdoi:10.1080/00207160.2018.1440289Search in ResearchGate
Generate Citation Formats
Mindat Ref. ID6647537Long-form Identifiermindat:1:5:6647537:4
GUID0
Full ReferenceKoleva, Miglena N., Vulkov, Lubin G. (2020) Numerical method for optimal portfolio in an exponential utility regime-switching model. International Journal of Computer Mathematics, 97. 120-140 doi:10.1080/00207160.2018.1440289
Plain TextKoleva, Miglena N., Vulkov, Lubin G. (2020) Numerical method for optimal portfolio in an exponential utility regime-switching model. International Journal of Computer Mathematics, 97. 120-140 doi:10.1080/00207160.2018.1440289
In(n.d.) International Journal of Computer Mathematics Vol. 97. Informa UK Limited

See Also

These are possibly similar items as determined by title/reference text matching only.

Gyulov, Tihomir B., Koleva, Miglena N., Vulkov, Lubin G. (2019) Efficient finite difference method for optimal portfolio in a power utility regime-switching model. International Journal of Computer Mathematics, 96. 2115-2134 doi:10.1080/00207160.2018.1474207
Koleva, Miglena N., Vulkov, Lubin G. (2017) A numerical study for optimal portfolio regime-switching model I. 2D Black–Scholes equation with an exponential non-linear term. Journal of Computational and Applied Mathematics, 318. 538-549 doi:10.1016/j.cam.2016.01.012
Gyulov, Tihomir B., Koleva, Miglena N., Vulkov, Lubin G. (2021) Fitted finite volume method for indifference pricing in an exponential utility regime-switching model. Journal of Computational and Applied Mathematics, 387. 112493pp. doi:10.1016/j.cam.2019.112493
Koleva, Miglena N., Vulkov, Lubin G. (2016) On splitting-based numerical methods for nonlinear models of European options. International Journal of Computer Mathematics, 93. 781-796 doi:10.1080/00207160.2014.884713
Koleva, Miglena N., Vulkov, Lubin G. (2015) Operator splitting kernel based numerical method for a generalized Leland’s model. Journal of Computational and Applied Mathematics, 275. 294-303 doi:10.1016/j.cam.2014.07.019
Koleva, Miglena N., Vulkov, Lubin G. (2020) Numerical analysis of one dimensional motion of magma without mass forces. Journal of Computational and Applied Mathematics, 366. 112338pp. doi:10.1016/j.cam.2019.07.003
Koleva, Miglena N., Vulkov, Lubin G. (2013) Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance. Mathematical and Computer Modelling, 57. 2564-2575 doi:10.1016/j.mcm.2013.01.008
Koleva, Miglena N., Vulkov, Lubin G. (2010) Two-grid quasilinearization approach to ODEs with applications to model problems in physics and mechanics. Computer Physics Communications, 181. 663-670 doi:10.1016/j.cpc.2009.11.015
Koleva, Miglena N., Vulkov, Lubin G. (2024) A Galerkin Finite Element Method for the Reconstruction of a Time-Dependent Convection Coefficient and Source in a 1D Model of Magnetohydrodynamics. Applied Sciences, 14 (13) 5949 doi:10.3390/app14135949
Koleva, Miglena N., Vulkov, Lubin G. (2016) A positive flux limited difference scheme for the uncertain correlation 2D Black–Scholes problem. Journal of Computational and Applied Mathematics, 293. 112-127 doi:10.1016/j.cam.2015.02.054
Koleva, Miglena N., Vulkov, Lubin G. (2018) Fast computational approach to the Delta Greek of non-linear Black–Scholes equations. Journal of Computational and Applied Mathematics, 340. 508-522 doi:10.1016/j.cam.2017.11.002
 
and/or  
Mindat.org is an outreach project of the Hudson Institute of Mineralogy, a 501(c)(3) not-for-profit organization.
Copyright © mindat.org and the Hudson Institute of Mineralogy 1993-2025, except where stated. Most political location boundaries are © OpenStreetMap contributors. Mindat.org relies on the contributions of thousands of members and supporters. Founded in 2000 by Jolyon Ralph.
To cite: Ralph, J., Von Bargen, D., Martynov, P., Zhang, J., Que, X., Prabhu, A., Morrison, S. M., Li, W., Chen, W., & Ma, X. (2025). Mindat.org: The open access mineralogy database to accelerate data-intensive geoscience research. American Mineralogist, 110(6), 833–844. doi:10.2138/am-2024-9486.
Privacy Policy - Terms & Conditions - Contact Us / DMCA issues - Report a bug/vulnerability Current server date and time: August 30, 2025 08:04:05
Go to top of page