Publication:4821531

Publication date: 13 October 2004

Wiener process; stochastic calculus; stochastic dynamic programming; portfolio problems; stochastic trees

90C15: Stochastic programming

90C39: Dynamic programming

90-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming

60H07: Stochastic calculus of variations and the Malliavin calculus

91B26: Auctions, bargaining, bidding and selling, and other market models

60H20: Stochastic integral equations

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