Maximum principle of optimal stochastic control with terminal state constraint and its application in finance (Q1621178): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s11424-018-6212-2 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2792316492 / rank | |||
Normal rank | |||
Revision as of 19:57, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum principle of optimal stochastic control with terminal state constraint and its application in finance |
scientific article |
Statements
Maximum principle of optimal stochastic control with terminal state constraint and its application in finance (English)
0 references
8 November 2018
0 references
finite-codimensional condition
0 references
mean-variance portfolio selection problem
0 references
stochastic maximum principle
0 references
terminal state constraint
0 references
