An Application of Stochastic Control Theory to Financial Economics
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Publication:4652546
DOI10.1137/S0363012902419060zbMath1101.93085MaRDI QIDQ4652546
Publication date: 28 February 2005
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
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