Optimal Control and Hedging of Operations in the Presence of Financial Markets

DOI10.1287/MOOR.1050.0179zbMath1276.91099OpenAlexW3121702817MaRDI QIDQ5387980

Martin B. Haugh, René Caldentey

Publication date: 27 May 2008

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.1050.0179

zbMATH Keywords

stochastic controlincomplete marketsportfolio optimizationoperations management

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50)

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