scientific article; zbMATH DE number 2015366

MaRDI QIDQ4438201zbMATH OpenFDO

Authors Wendell Fleming, Daniel Hernández-Hernández

Publication date 2002

zbMATH Keywords

portfolio optimizationstochastic volatilitymean revertingfactor modeling

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Functional limit theorems; invariance principles (60F17) Consumer behavior, demand theory (91B42) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

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