Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management

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作者：
Department of Mathematical Sciences, University of Nevada, Las Vegas, NV 89154-4020, United States [1 ]
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来源：
J. Comput. Appl. Math. | / 1卷 / 112-127期
基金：
美国国家科学基金会;
关键词：
Hamilton Jacobi theory - Option pricing - Stochastic control - Ultradiffusion - Ultraparabolic;
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