Optimal ergodic control of Markov diffusion processes with minimum variance

By Jasso-Fuentes Héctor   Hernández-Lerma Onésimo  

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 85, Iss. 6, 2013-12 ,pp. : 929-945

Taylor & Francis Ltd

Access to resources Recommend Favorite

Mean-Variance Portfolio Selection with a Stochastic Cash Flow in a Markov-switching Jump–Diffusion Market

By Wu Huiling  

Journal of Optimization Theory and Applications, Vol. 158, Iss. 3, 2013-09 ,pp. : 918-934

Springer Publishing Company

Access to resources Recommend Favorite

Variance-minimization of Markov control processes with pathwise constraints

By Mendoza-Pérez Armando F.  

Optimization, Vol. 61, Iss. 12, 2012-12 ,pp. : 1427-1447

Taylor & Francis Ltd

Access to resources Recommend Favorite

Dynamic mean–variance portfolio selection in market with jump-diffusion models

By  

Optimization, Vol. 64, Iss. 3, 2015-03 ,pp. : 663-674

Taylor & Francis Ltd

Access to resources Recommend Favorite

Optimality principles and uniqueness for Bellman equations of unbounded control problems with discontinuous running cost

By Garavello Mauro   Soravia Pierpaolo  

Nonlinear Differential Equations and Applications NoDEA, Vol. 11, Iss. 3, 2004-09 ,pp. : 271-298

Springer Publishing Company

Access to resources Recommend Favorite