Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice (Q1273920): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / cites work | |||
| Property / cites work: Q4794153 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q4794152 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The optimal control of diffusions / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Necessary Conditions for Continuous Parameter Stochastic Optimization Problems / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A General Stochastic Maximum Principle for Optimal Control Problems / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Backward stochastic differential equations and applications to optimal control / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1023/a:1022636332265 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W278441094 / rank | |||
Normal rank | |||
Latest revision as of 10:23, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice |
scientific article |
Statements
Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice (English)
0 references
30 March 1999
0 references
stochastic optimal control
0 references
stochastic maximum principle
0 references
portfolio and consumption choice
0 references
financial market
0 references
Pontryagin local maximum principle
0 references
variational methods
0 references
