Optimization Problems in the Theory of Continuous Trading
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Publication:3479757
DOI10.1137/0327063zbMath0701.90008OpenAlexW2169442762MaRDI QIDQ3479757
Publication date: 1989
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0327063
Brownian motion (60J65) Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General equilibrium theory (91B50) Stochastic integral equations (60H20)
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