Stochastic control of geometric processes

DOI10.2307/3214062MaRDI QIDQ3026893zbMATH OpenOpenAlexFDO

Authors Knut Kristian Aase

Publication date 1987

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214062

zbMATH Keywords

Doléans- Dade's formulagrowth modulesIto differential equationlogarithmic criterionportfolio optimization

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62) Optimal stochastic control (93E20)

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(3)

• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Admissible investment strategies in continuous trading
• Control of spatially structured random processes and random fields with applications.

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