Maximum principle of optimal stochastic control with terminal state constraint and its application in finance (Q1621178)
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English | Maximum principle of optimal stochastic control with terminal state constraint and its application in finance |
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Maximum principle of optimal stochastic control with terminal state constraint and its application in finance (English)
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8 November 2018
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finite-codimensional condition
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mean-variance portfolio selection problem
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stochastic maximum principle
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terminal state constraint
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