Controlling the occupation time of an exponential martingale
type: Item
instance of: scholarly article
title: Controlling the occupation time of an exponential martingale
zbMATH Open document ID: 1378.93142
author: Stefan Ankirchner
author: Christophette Blanchet-Scalliet
author: Monique Jeanblanc
published in: Applied Mathematics and Optimization
publication date: 2017-11-17T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49J55
Mathematics Subject Classification ID: 49J30
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60G48
zbMATH DE Number: 6808431
zbMATH Keywords: occupation time
zbMATH Keywords: bang-bang control
zbMATH Keywords: exponential martingale
zbMATH Keywords: minimal volatility
zbMATH Keywords: maximal volatility
MaRDI profile type: Publication
full work available at URL: s00245-016-9356-2
OpenAlex ID: W2337780367
Wikidata QID: Q115608623
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DOI: 10.1007/S00245-016-9356-2
description: scientific article; zbMATH DE number 6808431