Abstract
Portfolio problems in continuous time can be interpreted as control problems. To this end, in this chapter we sum up results of the theory of stochastic control which are relevant to our further considerations.1
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© 2004 Springer-Verlag Berlin Heidelberg
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Kraft, H. (2004). Preliminaries from Stochastics. In: Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets. Lecture Notes in Economics and Mathematical Systems, vol 540. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-17041-6_1
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DOI: https://doi.org/10.1007/978-3-642-17041-6_1
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-21230-0
Online ISBN: 978-3-642-17041-6
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