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An optimal investment-consumption model with borrowing. Fleming W H,Zariphopoulou T. Mathematics of Operations Research . 1991
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Optimal consumption and protfolio policies when asset price follow a diffusion process. Cox J,Huang C F. Journal of Economic Theory . 1989
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Martingale measures for discrete-time processes widi infinite horizon. Schachermayer W. Mathematical Finance . 1994
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Martingales and arbitrage in multiperiod securites markets. Harrison M J,Kerps D M. Journal of Economic Theory . 1979
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A general stochastic maximum principle for optimal control problems. Peng S. The SIAM Journal on Control and Optimization . 1990
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Brownian motion and stochastic calculus. Karatzas I,Shreve S. . 1988
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Determincstic and stochastic optimal control. Fleming W H,Rishel R W. . 1975
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Lifetime portfolio selection under uncertainty:The continuous time case. Merton R. The Review of Economics and Statistics . 1969
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Option pricing:A simplified approach. Cox J,Ross S,Rubinstein M. The Journal of Finance . 1979