Admissible investment strategies in continuous trading

DOI10.1016/0304-4149(88)90090-7zbMath0657.93076OpenAlexW2014344862MaRDI QIDQ1111524

Knut Kristian Aase, Bernt Øksendal

Publication date: 1988

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: http://urn.nb.no/URN:NBN:no-48104

zbMATH Keywords

portfolio optimizationoptimal investmentcontinuous-time model with diffusion and jumps

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Financial applications of other theories (91G80) Existence of optimal solutions to problems involving randomness (49J55)

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