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Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice - MaRDI portal

Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice (Q3538147)

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Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice
scientific article

    Statements

    title
    Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice (English)
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    author
    Guangchen Wang
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    Zhen Wu
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    publication date
    24 November 2008
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    zbMATH Keywords
    stochastic maximum principle
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    risk-sensitive control
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    portfolio choice
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    Identifiers

    zbMATH DE Number
    5371260
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    OpenAlex ID
    W2029578369
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    DOI
    10.1360/AAS-007-1043
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