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scientific article; zbMATH DE number 1199706 - MaRDI portal

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Publication:4211221

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zbMath0908.93001MaRDI QIDQ4211221

Jati K. Sengupta, Phillip F. Fanchon

Publication date: 16 September 1998

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

optimal control differential games Euler equations filtering calculus of variations economic dynamics control theory stochastic control theory risk sensitive control optimal growth theory portfolio efficiency frontier econometric estimations limit pricing models linear quadratic gaussian control

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Economic growth models (91B62) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

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Dynamic optimization models in finance: some extensions to the framework, models, and computation

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