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You are here: Home :: Keyword index :: the bis Vie :: time delay - Timoshenko theory time-discrete approximation

Items for "time-discrete approximation"

An ε-Optimal Portfolio with Stochastic Volatility

We consider an extended Merton's problem of optimal consumption and investment in continuous-time with stochastic volatility...

Keywords: stochastic volatility, portfolio optimization, -optimal control, time-discrete approximation

03/2005 | Monte Carlo Methods and Applications, Walter de Gruyter