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20182020
most citedSolving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning

29 citations · 30 across the 5 of their papers we have counts for

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q-fin.PM2020

A Variational Analysis Approach to Solving the Merton Problem

Ali Al-Aradi, Sebastian Jaimungal

We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis. Under a general continuous semimartingale market mod…