Risk-sensitive control and an optimal investment model

Mathematical Finance

Volumn 10, Issue 2, 2000, Pages 197-213

  Fleming, W H ^a   Sheu, S J ^b  

^a BROWN UNIVERSITY   (United States)

^b ACADEMIA SINICA   (Taiwan)

Author keywords

Dynamic programming equation; Long term growth rate; Optimal investment model; Riccati equation; Risk sensitive stochastic control

Indexed keywords

EID: 0034392970     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00089     Document Type: Article

References (19)

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