Stochastic control of geometric processes

DOI10.2307/3214062zbMath0624.93075OpenAlexW2328157119MaRDI QIDQ3026893

Knut Kristian Aase

Publication date: 1987

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

Full work available at URL: https://doi.org/10.2307/3214062

zbMATH Keywords

portfolio optimizationIto differential equationDoléans- Dade's formulagrowth moduleslogarithmic criterion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44)

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