An HJB approach to a general continuous-time mean-variance stochastic control problem
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Publication:1756027
DOI10.1515/ROSE-2018-0020zbMath1405.93228arXiv1508.05835OpenAlexW2962720356WikidataQ61821547 ScholiaQ61821547MaRDI QIDQ1756027
Georgios Aivaliotis, Alexander Yu. Veretennikov
Publication date: 11 January 2019
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.05835
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
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