Constrained Dynamic Optimality and Binomial Terminal Wealth

DOI10.1137/16M1085097zbMath1384.60088WikidataQ130014124 ScholiaQ130014124MaRDI QIDQ4634645

Goran Peskir, Jesper Lund Pedersen

Publication date: 11 April 2018

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

zbMATH Keywords

Lagrange multiplierMarkov processmartingalegeometric Brownian motionmean-variance analysisdynamic optimalitystatic optimalityconstrained nonlinear optimal control

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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