Abstract
Portfolio problems in continuous time can be interpreted as control problems. To this end, in this chapter we sum up results of the theory of stochastic control which are relevant to our further considerations.1
Keywords
- Stochastic Differential Equation
- Admissible Control
- Stochastic Optimal Control
- Portfolio Problem
- Money Market Account
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2004 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Kraft, H. (2004). Preliminaries from Stochastics. In: Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets. Lecture Notes in Economics and Mathematical Systems, vol 540. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-17041-6_1
Download citation
DOI: https://doi.org/10.1007/978-3-642-17041-6_1
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-21230-0
Online ISBN: 978-3-642-17041-6
eBook Packages: Springer Book Archive