An application of functional Ito's formula to stochastic portfolio optimization with bounded memory

DOI10.1137/1.9781611974072.23zbMATH Open1544.91294MaRDI QIDQ6566267

Azmat Hussain, Tao Pang

Publication date: 3 July 2024

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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