Maximum principle of optimal stochastic control with terminal state constraint and its application in finance (Q1621178)
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scientific article; zbMATH DE number 6975296
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| English | Maximum principle of optimal stochastic control with terminal state constraint and its application in finance |
scientific article; zbMATH DE number 6975296 |
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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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0.9127823114395142
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0.8780046105384827
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0.8472998738288879
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0.8414360880851746
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0.8399523496627808
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