Risk-sensitive control and an optimal investment model II

Annals of Applied Probability

Volumn 12, Issue 2, 2002, Pages 730-767

  Fleming, W H ^a   Sheu, S J ^b  

^a BROWN UNIVERSITY   (United States)

^b INSTITUTE OF MATHEMATICS   (Taiwan)

Author keywords

Dynamical programming equation; Long term growth rate; Optimal investment model; Ricatti equation; Risk sensitive stochastic control

Indexed keywords

EID: 0036338628     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1026915623     Document Type: Article

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