Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management (Q952084)
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scientific article; zbMATH DE number 5362089
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management |
scientific article; zbMATH DE number 5362089 |
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Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management (English)
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6 November 2008
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stochastic control
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Hamilton-Jacobi theory
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ultradiffusion
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ultraparabolic
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option pricing
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