scientific article
zbMath1101.91032MaRDI QIDQ3160498
Netzahualcóyotl Castañeda-Leyva, Daniel Hernández-Hernández
Publication date: 9 February 2005
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
incomplete marketstochastic controlduality gapBlack-Scholes modelHARA utilityoptimal trading strategymartingale methodOptimal investment and consumption
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions and duality in mathematical programming (90C46) Minimal systems representations (93B20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Diffusion processes (60J60)
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