A stochastic flows approach for asset allocation with hidden economic environment
From MaRDI portal
Publication:274851
DOI10.1155/2015/462524zbMath1346.60104OpenAlexW2082181283WikidataQ59111191 ScholiaQ59111191MaRDI QIDQ274851
Publication date: 25 April 2016
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2015/462524
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)
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