Risk-sensitive control and an optimal investment model. II.

DOI10.1214/aoap/1026915623zbMath1074.93038OpenAlexW2017588143MaRDI QIDQ1872384

Shuenn-Jyi Sheu, Wendell H. Fleming

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1026915623

zbMATH Keywords

Riccati equationdynamic programming equationlong-term growth rateoptimal investment modelRisk-sensitive stochastic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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