A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization (Q604807): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 00:44, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization |
scientific article |
Statements
A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization (English)
0 references
12 November 2010
0 references
stochastic control
0 references
relaxed control
0 references
maximum principle
0 references
\({\mathcal{H}}\)-function
0 references
bond portfolio
0 references
