Non-smooth analysis method in optimal investment-BSDE approach
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Publication:1716351
DOI10.1186/s13662-018-1920-4zbMath1448.49025OpenAlexW2964169086WikidataQ128699584 ScholiaQ128699584MaRDI QIDQ1716351
Publication date: 4 February 2019
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-018-1920-4
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonsmooth analysis (49J52) Optimal stochastic control (93E20)
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