"Itô's Lemma" and the Bellman equation: An applied view
Year of publication: |
2005
|
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Authors: | Sennewald, Ken ; Wälde, Klaus |
Institutions: | Fakultät Wirtschaftswissenschaften, Technische Universität Dresden |
Subject: | Stochastic differential equation | Poisson process | Bellman equation | Portfolio optimization | Consump |
Extent: | application/pdf |
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Series: | Dresden Discussion Paper Series in Economics. - ISSN 0945-4829. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 04/05 |
Classification: | D81 - Criteria for Decision-Making under Risk and Uncertainty ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D90 - Intertemporal Choice and Growth. General ; G11 - Portfolio Choice |
Source: |
-
"Itô's Lemma" and the Bellman equation: An applied view
Sennewald, Ken, (2005)
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"Ito's Lemma" and the Bellman equation for Poisson processes: An applied view
Sennewald, Ken, (2005)
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"Ito's Lemma" and the Bellman equation for poisson processes : an applied view
Sennewald, Ken, (2006)
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