A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
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Publication:4537784
DOI10.1137/S0363012900377791zbMath1020.93029OpenAlexW1988324927MaRDI QIDQ4537784
Publication date: 23 June 2002
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012900377791
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
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