Abstract
Suppose that the state of a system at time t is described by a stochastic integral Xt of the form
where Xt, b ∈ ℝn, σ ∈ ℝn×m and Bt is m-dimensional Brownian motion. Here u ∈ ℝk is a parameter whose value we can choose at any instant in order to control the process Xt.
Keywords
- Stochastic Differential Equation
- Optimal Portfolio
- Stochastic Control
- Exit Time
- Portfolio Selection Problem
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.
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© 1985 Springer-Verlag Berlin Heidelberg
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Øksendal, B. (1985). Application to Stochastic Control. In: Stochastic Differential Equations. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-13050-6_10
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DOI: https://doi.org/10.1007/978-3-662-13050-6_10
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-15292-7
Online ISBN: 978-3-662-13050-6
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