Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice (Q1273920): 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 02:46, 5 March 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
