Sensitivity results in stochastic optimal control: a Lagrangian perspective (Q2963496)
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scientific article; zbMATH DE number 6684480
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| English | Sensitivity results in stochastic optimal control: a Lagrangian perspective |
scientific article; zbMATH DE number 6684480 |
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Sensitivity results in stochastic optimal control: A Lagrangian perspective (English)
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14 February 2017
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stochastic control
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Pontryagin's maximum principle
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Lagrange multipliers
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sensitivity analysis
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LQ problems
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mean variance portfolio selection problem
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0.8322723507881165
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0.7933709025382996
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0.7904959321022034
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