Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
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Publication:3427513
DOI10.1137/S0363012903437952zbMath1158.91370OpenAlexW1971750590MaRDI QIDQ3427513
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Publication date: 20 March 2007
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012903437952
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Markov and semi-Markov decision processes (90C40)
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