scientific article

zbMath1104.93057MaRDI QIDQ3414481

Łukasz Stettner, Giovanni B. Di Masi

Publication date: 8 January 2007

Full work available at URL: http://journals.impan.gov.pl/bc/Inf/72-0-4.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

splittingPoisson equationsBellman equationsdiscrete time Markov processesrisk neutral and risk sensitive control

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Long run risk sensitive portfolio with general factors

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