Financial Decisions via Methods of Guaranteed Control Theory

Authors: Nikonov, O.
Issue Date: 1998
Citation: Pliska Studia Mathematica Bulgarica, Vol. 12, No 1, (1998), 133p-140p Copy to clipboard
ISSN: 0204-9805
URI: http://hdl.handle.net/10525/2130 Copy to clipboard
Note:

AMS subject classification: 93C95, 90A09.

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.
Sponsorship:

Supported in part by RFBR grant 97-01-01003 nd SCHE RF grant 29.

Language: en
Publisher: Institute of Mathematics and Informatics, Bulgarian Academy of SciencesSubject: Guaranteed ControlFinancial Modelling
Type: Article