A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization (Q604807): Difference between revisions
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Revision as of 04:49, 9 December 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 |
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A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization (English)
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12 November 2010
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stochastic control
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relaxed control
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maximum principle
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\({\mathcal{H}}\)-function
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bond portfolio
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