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Optimal control over evolution stochastic systems and its application to stochastic models of financial mathematics

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Ukrainian Mathematical Journal Aims and scope

Abstract

We consider problems of optimal stabilization of controlled evolution stochastic systems in semi-Markov media and their application to financial stochastic models.

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References

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Authors and Affiliations

  1. Institute of Mathematics, Ukrainian Academy of Sciences, Kiev

    A. V. Svishchuk & A. G. Burdeinyi

Authors
  1. A. V. Svishchuk
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  2. A. G. Burdeinyi
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Additional information

Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 5, pp. 687–698, May, 1998.

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Svishchuk, A.V., Burdeinyi, A.G. Optimal control over evolution stochastic systems and its application to stochastic models of financial mathematics. Ukr Math J 50, 780–794 (1998). https://doi.org/10.1007/BF02514331

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  • DOI: https://doi.org/10.1007/BF02514331

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