Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance

Stochastic Analysis and Applications

Volumn 30, Issue 6, 2012, Pages 997-1018

  Shi, Jingtao ^a   Wu, Zhen ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

Maximum principle; Ornstein Uhlenbeck model; Riccati equation; Risk sensitive control; Stochastic optimal control

Indexed keywords

EID: 84868705244     PISSN: 07362994     EISSN: 15329356     Source Type: Journal    
DOI: 10.1080/07362994.2012.727138     Document Type: Article

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