Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization (Q3592750)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization |
scientific article |
Statements
Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization (English)
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21 September 2007
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HJI equations
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portfolio optimization
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switching diffusion processes
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value functions
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viscosity solutions
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