Stochastic optimization under constraints. (Q1888753)
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scientific article; zbMATH DE number 2119494
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic optimization under constraints. |
scientific article; zbMATH DE number 2119494 |
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Stochastic optimization under constraints. (English)
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26 November 2004
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A convex constrained stochastic control problem is studied via the dual martingale approach. The results (existence and uniqueness, dual formulation) apply to various financial models, such as portfolio optimization under constraints or reinsurance models, and allow one to deal with incomplete markets, to incorporate labor income and consumption, and cover also the case of a large investor.
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stochastic control
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duality
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finance and insurance
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portfolio optimization under constraints
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incomplete markets
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