A discrete-time benchmark tracking problem in two markets subject to random environments
DOI10.1007/S00291-024-00767-XMaRDI QIDQ6667806
Gladys D. Salgado-Suárez, Héctor Jasso-Fuentes
Publication date: 21 January 2025
Published in: OR Spectrum (Search for Journal in Brave)
Markov and semi-Markov decision processes (90C40) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Processes in random environments (60K37) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Financial markets (91G15)
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