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Publication:3158931
zbMath1068.60086MaRDI QIDQ3158931
Publication date: 1 February 2005
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
backward stochastic differential equationsrisk-sensitive controlportfolio optimization problemBellman equations of parabolic typeMerton's capital asset pricing model
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial-boundary value problems for second-order parabolic equations (35K20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)
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