Variance minimization for constrained discounted continuous-time MDPs with exponentially distributed stopping times
Year of publication: |
2013
|
---|---|
Authors: | Fei, Jun ; Feinberg, Eugene A. |
Published in: |
Optimization under uncertainty ; Vol. 1. - New York, NY : Springer. - 2013, p. 433-450
|
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Martingal | Martingale |
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