Financial Decisions via Methods of Guaranteed Control Theory
Authors: Nikonov, O. Abstract:
The paper deals with some problems of financial mathematics that can be studied
with the help of the theory of guaranteed control under uncertainty. From this
viewpoint the dynamic portfolio selection problem and the option pricing models
are considered, and the links between guaranteed and stochastic approaches in
financial mathematics are discussed.Publisher:
Institute of Mathematics and Informatics, Bulgarian Academy of SciencesSubject: Guaranteed ControlFinancial Modelling
Issue Date: 1998
Citation:
Pliska Studia Mathematica Bulgarica, Vol. 12, No 1, (1998), 133p-140p URI:
http://hdl.handle.net/10525/2130
ISSN: 0204-9805
Note:
AMS subject classification: 93C95, 90A09.
Sponsorship:
Supported in part by RFBR grant 97-01-01003 nd SCHE RF grant 29.
Language: en
Type: Article