Wealth optimization and dual problems for jump stock dynamics with stochastic factor
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Publication:3080993
DOI10.1080/17442500903276334zbMath1211.91255OpenAlexW1975243947MaRDI QIDQ3080993
Publication date: 11 March 2011
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500903276334
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Related Items (4)
Sustainable management of fossil fuels: a dynamic stochastic optimization approach with jump-diffusion ⋮ Optimal proportional reinsurance and investment for stochastic factor models ⋮ UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS ⋮ Stochastic control methods: Hedging in a market described by pure jump processes
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