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

DOI10.25587/SVFU.2018.1.12766MaRDI QIDQ5230740zbMATHFDO

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

Publication date 28 August 2019

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

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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