Constrained nonsmooth utility maximization on the positive real line
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Publication:2356566
DOI10.3934/mcrf.2015.5.679zbMath1316.93128arXiv1010.4055OpenAlexW1554292287MaRDI QIDQ2356566
Publication date: 30 July 2015
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.4055
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)
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