Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach
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Publication:3647589
DOI10.1080/17442500902774917zbMath1175.91154OpenAlexW1988537060MaRDI QIDQ3647589
K. Suresh Kumar, Arunabha Bagchi
Publication date: 23 November 2009
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500902774917
Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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