Stochastic Optimal Control with Applications in Financial Engineering

DOI10.1007/978-0-387-89496-6_18zbMath1203.93210OpenAlexW17024369MaRDI QIDQ3059298

Florian Herzog, Hans P. Geering, Gabriel Dondi

Publication date: 8 December 2010

Published in: Springer Optimization and Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-0-387-89496-6_18

zbMATH Keywords

stochastic optimal controlasset managementmulti-period portfolio optimization

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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