Optimization Problems in the Theory of Continuous Trading
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Publication:3479757
DOI10.1137/0327063zbMath0701.90008MaRDI QIDQ3479757
Publication date: 1989
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0327063
60J65: Brownian motion
91B16: Utility theory
91B24: Microeconomic theory (price theory and economic markets)
91B62: Economic growth models
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
91B50: General equilibrium theory
60H20: Stochastic integral equations
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