Constrained Dynamic Optimality and Binomial Terminal Wealth (Q4634645)
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scientific article; zbMATH DE number 6858094
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constrained Dynamic Optimality and Binomial Terminal Wealth |
scientific article; zbMATH DE number 6858094 |
Statements
Constrained Dynamic Optimality and Binomial Terminal Wealth (English)
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11 April 2018
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constrained nonlinear optimal control
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dynamic optimality
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static optimality
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mean-variance analysis
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martingale
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Lagrange multiplier
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geometric Brownian motion
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Markov process
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