Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance (Q3145061)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance |
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Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance (English)
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13 December 2012
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maximum principle
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Ornstein-Uhlenbeck model
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Riccati equation
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risk-sensitive control
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stochastic optimal control
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