scientific article; zbMATH DE number 1537555

zbMATH Open0996.60062MaRDI QIDQ4518682FDOQ4518682

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

Publication date: 1 December 2000

Title of this publication is not available (Why is that?)

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• scientific article; zbMATH DE number 2015387

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)

Cited In (5)

• Optimal time of switching between portfolios of securities
• Title not available (Why is that?)
• Choosing an Optimal Switching Moment on the Financial Market with Alternative Strategies (Semimartingale Approach)
• Optimal stopping for factorable process in application to financial problems
• Optimal stopping times for solutions of nonlinear stochastic differential equations and their applications to a problem of financial mathematics

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