Browsing Theses by Subject "conjugate duality"
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Convex Stochastic Control and Conjugate Duality in a Problem of Unconstrained Utility Maximization Under a Regime Switching Model
(University of Waterloo, 2015-05-22)In this thesis, we examine a problem of convex stochastic optimal control applied to mathematical finance. The goal is to maximize the expected utility from wealth at close of trade (or terminal wealth) under a regime ...