The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
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Publication:4698801
DOI10.1137/S0363012992240722zbMath0826.93069OpenAlexW2041522674MaRDI QIDQ4698801
Ioannis Karatzas, Abel Cadenillas
Publication date: 27 November 1995
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012992240722
Economic growth models (91B62) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)
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