A new stochastic model for stock price with delay effects

DOI10.1137/1.9781611975758.17MaRDI QIDQ6567482zbMATHFDO

Authors Tao Pang, Yicong Yong

Publication date 5 July 2024

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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(1)

• An application of functional Ito's formula to stochastic portfolio optimization with bounded memory

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