Constrained stochastic estimation algorithms for a class of hybrid stock market models

DOI10.1023/A:1024795626350zbMath1050.91053OpenAlexW21271374MaRDI QIDQ1407240

K. Yin, G. George Yin, Qing Zhang

Publication date: 15 September 2003

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1024795626350

zbMATH Keywords

stochastic optimizationMarkov chainsgeometric Brownian motion

Mathematics Subject Classification ID

Stochastic programming (90C15)

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