A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
Daniel Andersson; Boualem Djehiche
| Year of publication: |
2010
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|---|---|
| Authors: | Andersson, Daniel ; Djehiche, Boualem |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 72.2010, 2, p. 273-310
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| Subject: | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Anleihe | Bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10008696632