A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
Year of publication: |
2010
|
---|---|
Authors: | Andersson, Daniel ; Djehiche, Boualem |
Published in: |
Computational Statistics. - Springer. - Vol. 72.2010, 2, p. 273-310
|
Publisher: |
Springer |
Subject: | Stochastic control | Relaxed control | Maximum principle | $${\mathcal{H}}$$ -function | Bond portfolio |
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