Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice (Q1273920): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1023/a:1022636332265 / rank | |||
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Latest revision as of 11:23, 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)
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30 March 1999
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stochastic optimal control
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stochastic maximum principle
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portfolio and consumption choice
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financial market
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Pontryagin local maximum principle
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variational methods
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