Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice
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Publication:3538147
DOI10.1360/aas-007-1043zbMath1164.91351MaRDI QIDQ3538147
Publication date: 24 November 2008
Published in: Acta Automatica Sinica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1360/aas-007-1043
93E20: Optimal stochastic control
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