Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management (Q952084)
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scientific article; zbMATH DE number 5362089
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| English | Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management |
scientific article; zbMATH DE number 5362089 |
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Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management (English)
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6 November 2008
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stochastic control
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Hamilton-Jacobi theory
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ultradiffusion
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ultraparabolic
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option pricing
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0.8917757868766785
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0.7795873284339905
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0.757578432559967
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0.75581955909729
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0.7497658133506775
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