An analogue of the Cramér-Lundberg approximation in the optimal investment case
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Publication:1885379
DOI10.1007/s00245-004-0791-0zbMath1112.91039OpenAlexW1964298041MaRDI QIDQ1885379
Publication date: 28 October 2004
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-004-0791-0
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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