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On the singular risk-sensitive stochastic maximum principle - MaRDI portal

On the singular risk-sensitive stochastic maximum principle (Q5165299)

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scientific article; zbMATH DE number 7427225
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English
On the singular risk-sensitive stochastic maximum principle
scientific article; zbMATH DE number 7427225

    Statements

    title
    On the singular risk-sensitive stochastic maximum principle (English)
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    author
    Adel Chala
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    publication date
    16 November 2021
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    zbMATH Keywords
    singular stochastic differential equation
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    risk-sensitive
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    stochastic maximum principle
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    variational principle
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    logarithmic transformation
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    exponential utility optimization problem
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    Identifiers

    Mathematics Subject Classification ID
    93E20
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    60H10
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    93B52
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    zbMATH DE Number
    7427225
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    OpenAlex ID
    W3008432450
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