scientific article; zbMATH DE number 2015366

zbMath1067.91041MaRDI QIDQ4438201

Wendell H. Fleming, Daniel Hernández-Hernández

Publication date: 2002

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

zbMATH Keywords

stochastic volatilityportfolio optimizationmean revertingfactor modeling

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov and semi-Markov decision processes (90C40) Consumer behavior, demand theory (91B42) Functional limit theorems; invariance principles (60F17)