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International Conference on Mathematical Modeling and Scientific Computing
April 2-6, 2001
Middle East Technical University and Selcuk University
Ankara and Konya, Turkey

Organizers
F. Bornemann (Munich University of Tecnology, Germany), H. Bulgak (Selcuk University, Konya, Turkey), V. Ganzha (Munich University of Technology, Germany), B. Karasozen (METU, Ankara, Turkey), A. Sinan (Selcuk University, Konya, Turkey), C. Zenger (Munich University of Technology, Germany)

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Stochastic control methods for optimal investment
by
Ralf Korn
Department of Mathematics, University of Kaiserslautern, Germany

The problem of how to optimally invest capital at a securities market is one of the fundamental problems of financial mathematics. We present some classical applications of stochastic control methods in a continuous-time setting to this task, explain the problems with their applicability in real life situations, and demonstrate how they lead to new mathematical and computational challenges.

http://www.mathematik.uni-kl.de/~korn/welcome2.htm

Date received: December 28, 2000

Copyright © 2000 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # cagk-11.