Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities
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Publication:538320
DOI10.1007/s10690-010-9127-zzbMath1275.91123OpenAlexW2047386662MaRDI QIDQ538320
Nobuhiro Nakamura, Akira Kashiwabara
Publication date: 25 May 2011
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-010-9127-z
stochastic maximum principlereaction-diffusionforward-backward stochastic differential equationstochastic differential utilityItō-Poisson process
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