Optimal harvesting when the exchange rate is a semimartingale
From MaRDI portal
Publication:413921
DOI10.1155/2011/942478zbMath1239.93131WikidataQ58688955 ScholiaQ58688955MaRDI QIDQ413921
Publication date: 8 May 2012
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2011/942478
sufficient conditions; semimartingale; Black-Scholes Quanto market; singular stochastic control problem
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
91G10: Portfolio theory
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