Publication:2707636
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zbMath1013.91057MaRDI QIDQ2707636
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Publication date: 3 July 2003
optimal strategy; stochastic differential equations; optimal investment; modified Zakai equation; risk-sensitive asset management; risk-sensitive stochastic control problem
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
49J15: Existence theories for optimal control problems involving ordinary differential equations
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
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