Optimal Control

Ernst Eberlein and Jan Kallsen
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Ernst Eberlein: University of Freiburg
Jan Kallsen: Kiel University

Chapter Chapter 7 in Mathematical Finance, 2019, pp 373-403 from Springer

Abstract: Abstract Dynamic stochastic optimisation problems play an important role in Mathematical Finance and other applications. In this chapter we provide basic tools for their mathematical treatment in continuous time.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-26106-1_7

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DOI: 10.1007/978-3-030-26106-1_7

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