zbMath1080.91036MaRDI QIDQ3160509
Mattias Jonsson, Ronnie Sircar
Publication date: 9 February 2005
zbMATH Keywords
stochastic control; stochastic volatility; optimal investment; indifference pricing; derivative securities
Mathematics Subject Classification ID
91B70: Stochastic models in economics
91B16: Utility theory
93E20: Optimal stochastic control