Stochastic Analysis and Applications

DOI10.1007/978-3-540-70847-6zbMath1151.91516OpenAlexW3144496105MaRDI QIDQ5436610

Hanqing Jin, Xun Yu Zhou

Publication date: 17 January 2008

Full work available at URL: https://doi.org/10.1007/978-3-540-70847-6

Mathematics Subject Classification ID

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

Related Items (7)

Delay feedback stabilisation of stochastic differential equations driven by G-Brownian motion ⋮ A general linear quadratic stochastic control and information value ⋮ Cone-constrained continuous-time Markowitz problems ⋮ Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints ⋮ Dual method for continuous-time Markowitz's problems with nonlinear wealth equations ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Successive approximation of SFDEs with finite delay driven by \(G\)-Brownian motion

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