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~isPartOf:"Computational Statistics"
~isPartOf:"Mathematical Population Studies"
~subject:"Relaxed control"
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A
maximum
principle
for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
Andersson, Daniel
;
Djehiche, Boualem
- In:
Computational Statistics
72
(
2010
)
2
,
pp. 273-310
necessary conditions for optimality in the form of a relaxed
maximum
principle
. The main motivation is an optimal bond portfolio …
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