In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

The main goal of this paper is to explicate and explain connections between neoclassical analysis and fuzzy set theory. To this goal, we consider here fuzzy sets of derivatives and intuitionistic fuzzy sets of derivatives of real functions. Neoclassical analysis may be treated as a new direction...