Stochastic optimization under constraints.
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Publication:1888753
DOI10.1016/S0304-4149(00)00089-2zbMath1070.93050MaRDI QIDQ1888753
Publication date: 26 November 2004
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
stochastic control; duality; incomplete markets; finance and insurance; portfolio optimization under constraints
91B16: Utility theory
93E20: Optimal stochastic control
91G80: Financial applications of other theories
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Cites Work
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