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Latest revision as of 10:59, 13 July 2024

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Sensitivity results in stochastic optimal control: A Lagrangian perspective
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    Sensitivity results in stochastic optimal control: A Lagrangian perspective (English)
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    14 February 2017
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    stochastic control
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    Pontryagin's maximum principle
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    Lagrange multipliers
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    sensitivity analysis
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    LQ problems
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    mean variance portfolio selection problem
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