Benchmark and mean-variance problems for insurers
Year of publication: |
2005
|
---|---|
Authors: | Bäuerle, Nicole |
Published in: |
Mathematical Methods of Operations Research. - Springer. - Vol. 62.2005, 1, p. 159-165
|
Publisher: |
Springer |
Subject: | stochastic LQ problem | Lagrange theory | HJB equation |
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