Modeling of the programmed control with probability 1 for some financial tasks

DOI10.25587/SVFU.2018.1.12766zbMATH Open1438.60073MaRDI QIDQ5230740FDOQ5230740

Authors: E. V. Karachanskaya, A. P. Petrova 

Publication date: 28 August 2019

Published in: Журнал «Математические заметки СВФУ» (Search for Journal in Brave)

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zbMATH Keywords

interest rate modelfirst integral of system of the Itô equationsinvestment portfolio modelprogrammed control with probability 1stochastic Itô's equation with jumps

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• STOCHASTIZATION OF CLASSICAL MODELS WITH DYNAMICAL INVARIANTS
• Solution of the characteristic equation for some nonclassical diffusion model
• Clifford analysis versus its quaternionic counterparts

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