Publication:4438216
From MaRDI portal
zbMath1036.93068MaRDI QIDQ4438216
Publication date: 2002
integrability condition; portfolio optimization; infinite time horizon; optimal strategies; ergodic control problem; Bellman equations; securities markets
62P05: Applications of statistics to actuarial sciences and financial mathematics
93E20: Optimal stochastic control
60J60: Diffusion processes
91G10: Portfolio theory