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On Stochastic Control in Finance

  • Wolfgang J. Runggaldier
Part of the The IMA Volumes in Mathematics and its Applications book series (IMA, volume 134)

Abstract

Stochastic control/optimization problems arise in various applications in finance where the control is usually given by an investment strategy. The purpose of this paper is to review some of these applications together with appropriate solution methodologies and also to discuss the latter in comparison with one another.

Key words

Financial markets optimal investment strategies hedging stochastic control model uncertainty incomplete information adaptive approaches robust approaches. 

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Copyright information

© Springer-Verlag New York, Inc. 2003

Authors and Affiliations

  • Wolfgang J. Runggaldier
    • 1
  1. 1.Dipartimento di Matematica Pura ed ApplicataUniversità di PadovaPadovaItaly

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