A Verification Theorem in General Equilibrium Model of Asset Prices

STOCHASTIC ANALYSIS, CONTROL, OPTIMIZATION, AND APPLICATIONS: A VOLUME IN HONOR OF WENDELL FLEMING, 1996

Posted: 29 Aug 2009

See all articles by Chi-fu Huang

Chi-fu Huang

Long Term Capital Management

Michael I. Taksar

University of Missouri at Columbia - Department of Mathematics (Deceased) ; State University of New York (SUNY), Stony Brook, College of Engineering and Applied Sciences, Department of Applied Mathematics and Statistics (Deceased)

Steven H. Zhu

Banc of America Merrill Lynch; Morgan Stanley

Date Written: August 11, 1996

Abstract

This volume was written in honor of Wendell H. Fleming, a mathematician who has made fundamental contributions in the fields of calculus of variations, geometric measure theory, differential games, stochastic control theory, and population genetics. This book includes authoritative expositions and surveys focusing on the key recent developments and results in stochastic analysis, control theory and optimization, as well as their applications.

Keywords: Optimal Control, Differential Games, Stochastic Calculation and Optimization

Suggested Citation

Huang, Chi-fu and Taksar, Michael I. and Zhu, Steven H., A Verification Theorem in General Equilibrium Model of Asset Prices (August 11, 1996). STOCHASTIC ANALYSIS, CONTROL, OPTIMIZATION, AND APPLICATIONS: A VOLUME IN HONOR OF WENDELL FLEMING, 1996. Available at SSRN: https://ssrn.com/abstract=1463057

Chi-fu Huang

Long Term Capital Management

Greenwich, CT 06830
United States

Michael I. Taksar

University of Missouri at Columbia - Department of Mathematics (Deceased)

State University of New York (SUNY), Stony Brook, College of Engineering and Applied Sciences, Department of Applied Mathematics and Statistics (Deceased)

Steven H. Zhu (Contact Author)

Banc of America Merrill Lynch ( email )

Bank of America Plaza
335 Madison Ave, 5th Floor
New York, NY 10017
United States
646-855-1853 (Phone)

HOME PAGE: http://www.riskwhoswho.com/Charter-Members.html

Morgan Stanley ( email )

1585 Broadway
New York, NY 10036
United States

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