Geodesic
Investment optimization in the Heston model
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 35, Tome 526 (2023), pp. 29-51

Voir la notice de l'article provenant de la source Math-Net.Ru

The investment portfolio optimization problem in the Heston model is solved via several reductions. Namely, we reduce the original problem to the Cauchy problem for a new fully nonlinear parabolic equation and construct its probabilistic representation via solution of a forward–backward stochastic differential equation (FBSDE). Next we reduce solution of the FBSDE to a new optimization problem and construct its numerical solution applying the neural network technique. 
@article{ZNSL_2023_526_a2,
     author = {Ya. I. Belopolskaya and A. A. Chubatov},
     title = {Investment optimization in the {Heston} model},
     journal = {Zapiski Nauchnykh Seminarov POMI},
     pages = {29--51},
     publisher = {mathdoc},
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     year = {2023},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2023_526_a2/}
}
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Ya. I. Belopolskaya; A. A. Chubatov. Investment optimization in the Heston model. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 35, Tome 526 (2023), pp. 29-51. http://geodesic.mathdoc.fr/item/ZNSL_2023_526_a2/