On the role of Föllmer-Schweizer minimal martingale measure in risk-sensitive control asset management (Q3449927): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q3997913 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Tribute to Wendell H. Fleming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk-sensitive dynamic asset management / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4868515 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk-sensitive control and an optimal investment model. II. / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4368791 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk-sensitive portfolio optimization on infinite time horizon / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk-sensitive optimal investment policy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3997540 / rank
 
Normal rank

Latest revision as of 23:29, 10 July 2024

scientific article
Language Label Description Also known as
English
On the role of Föllmer-Schweizer minimal martingale measure in risk-sensitive control asset management
scientific article

    Statements

    On the role of Föllmer-Schweizer minimal martingale measure in risk-sensitive control asset management (English)
    0 references
    0 references
    30 October 2015
    0 references
    minimal martingale measure
    0 references
    zero-sum stochastic differential game
    0 references
    risk-sensitive control
    0 references
    asset management
    0 references
    stability
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references