The shadow price of information in continuous time decision problems
DOI10.1080/17442508708833471zbMath0628.93076OpenAlexW2009565510MaRDI QIDQ3765689
Publication date: 1987
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: http://www.kellogg.northwestern.edu/research/math/papers/690.pdf
economic growthstochastic maximum principlecontinuous-timeoptimal portfolioscontinuous-time stochastic control problemexistence of the shadow price of information
Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45)
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Cites Work
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