Maximum principle of optimal stochastic control with terminal state constraint and its application in finance (Q1621178)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum principle of optimal stochastic control with terminal state constraint and its application in finance |
scientific article |
Statements
Maximum principle of optimal stochastic control with terminal state constraint and its application in finance (English)
0 references
8 November 2018
0 references
finite-codimensional condition
0 references
mean-variance portfolio selection problem
0 references
stochastic maximum principle
0 references
terminal state constraint
0 references
0 references
0 references
0 references
