Application of stochastic flows to optimal portfolio strategies

MaRDI QIDQ5488585zbMATH OpenFDO

Authors Ryuji Fukaya

Publication date 22 September 2006

Full work available at URL http://journal.ms.u-tokyo.ac.jp/pdf/jms120302.pdf

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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