Geodesic
Optimal investment under stochastic volatility and power type utility function
Serdica Mathematical Journal, Tome 37 (2011) no. 3, pp. 237-250 Cet article a éte moissonné depuis la source Bulgarian Digital Mathematics Library

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In this work we will study a problem of optimal investment in financial markets with stochastic volatility with small parameter. We used the averaging method of Bogoliubov for limited development for the optimal strategies when the small parameter of the model tends to zero and the limit for the optimal strategy and demonstrated the convergence of these optimal strategies.
Keywords: Hamilton-Jacobi-Bellman Equation, Invariant Measure, Mean-Reverting Process, Optimal Stochastic Control, Stochastic Volatility 
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     author = {Benchaabane, Abbes and Benchettah, Azzedine},
     title = {Optimal investment under stochastic volatility and power type utility function},
     journal = {Serdica Mathematical Journal},
     pages = {237--250},
     year = {2011},
     volume = {37},
     number = {3},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/SMJ2_2011_37_3_a4/}
}
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Benchaabane, Abbes; Benchettah, Azzedine. Optimal investment under stochastic volatility and power type utility function. Serdica Mathematical Journal, Tome 37 (2011) no. 3, pp. 237-250. http://geodesic.mathdoc.fr/item/SMJ2_2011_37_3_a4/