Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
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Publication:607784
DOI10.1007/s00245-010-9106-9zbMath1211.93137OpenAlexW2018463675MaRDI QIDQ607784
Publication date: 3 December 2010
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-010-9106-9
Riccati differential equationrisk-sensitive stochastic controlBeně's filterlarge deviations controllong-term optimal investmentnonlinear factor
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