From Loewner-captive Hermitian diffusions to risk-captive efficient frontiers

DOI10.1142/s0219493724500515MaRDI QIDQ6665955

Levent Ali Mengütürk, Murat Cahit Mengütürk

Publication date: 17 January 2025

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsquadratic optimizationstochastic covariance processesefficient-frontiersLoewner-captive Hermitian diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60)

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