Publication:4438216

zbMath1036.93068MaRDI QIDQ4438216

Hideo Nagai

Publication date: 2002

zbMATH Keywords

integrability condition; portfolio optimization; infinite time horizon; optimal strategies; ergodic control problem; Bellman equations; securities markets

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

93E20: Optimal stochastic control

60J60: Diffusion processes

91G10: Portfolio theory