A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates

DOI10.1137/S0363012900377791zbMATH Open1020.93029OpenAlexW1988324927MaRDI QIDQ4537784FDOQ4537784

Authors: Ralf Korn, Holger Kraft 

Publication date: 23 June 2002

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012900377791

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zbMATH Keywords

investmentstochastic interest rateverification theoremoptimal portfolios

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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