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math.PR2015
Utility maximization in Wiener-transformable markets
Elena Boguslavskaya, Yuliya Mishura
We consider a utility maximization problem in a broad class of markets. Apart from traditional semimartingale markets, our class of markets includes processes with long memory, fra…
q-fin.MF2015★ 1 cited
An explicit solution for optimal investment in Heston model
Elena Boguslavskaya, Dmitry Muravey
In this paper we consider a variation of the Merton's problem with added stochastic volatility and finite time horizon. It is known that the corresponding optimal control problem m…