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zbMath0992.91049MaRDI QIDQ2744547

Rangquan Wu, Weiyin Fei, Shaofu Zhou

Publication date: 2 April 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

portfolio stochastic differential equation Brownian motion duality martingale enlargement of filtration investment optimal consumption large investor

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (1)

Optimal consumption and portfolio choice with ambiguity and anticipation

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