History path dependent optimal control and portfolio valuation and management
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Publication:1863746
DOI10.1023/A:1020244921138zbMath1031.93092MaRDI QIDQ1863746
Georges Haddad, Jean-Pierre Aubin
Publication date: 12 March 2003
Published in: Positivity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1020244921138
Hamilton-Jacobi-Bellman equations; portfolio management; viability; portfolio valuation; functional differential inclusion; capturability; changing of functions; Clio derivatives; history dependent control; path dependent control
49L20: Dynamic programming in optimal control and differential games
93C10: Nonlinear systems in control theory
93C15: Control/observation systems governed by ordinary differential equations
91G10: Portfolio theory
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