A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization (Q604807)
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scientific article
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| English | A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization |
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A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization (English)
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12 November 2010
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stochastic control
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relaxed control
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maximum principle
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\({\mathcal{H}}\)-function
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bond portfolio
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0.8158366084098816
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0.8113486766815186
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0.8076136708259583
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0.7997381687164307
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0.7989751696586609
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