Exact solution of an optimal control problem of investment in a diffusion model (Q4232350)
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scientific article; zbMATH DE number 1262280
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact solution of an optimal control problem of investment in a diffusion model |
scientific article; zbMATH DE number 1262280 |
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Exact solution of an optimal control problem of investment in a diffusion model (English)
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11 November 1999
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investment
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optimal control problem
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diffusion model
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standard Wiener process
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criterion of optimality
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utility function
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admissible controls
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exact solution
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