scientific article; zbMATH DE number 1537555

MaRDI QIDQ4518682zbMATH OpenFDO

Authors Ya. O. Ol'tsik, Yuliya S. Mishura

Publication date 1 December 2000

zbMATH Keywords

portfoliostochastic differential equationsemimartingalecomparison theoremoptimal moment of switching

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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