Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice
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Publication:3538147
DOI10.1360/aas-007-1043zbMath1164.91351OpenAlexW2029578369MaRDI QIDQ3538147
Publication date: 24 November 2008
Published in: Acta Automatica Sinica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1360/aas-007-1043
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Long term optimal investment with regime switching: inflation, information and short sales ⋮ Representation of the bilinear system output by multiple stochastic integrals ⋮ The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations ⋮ Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type ⋮ Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance
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