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Feature extraction of the patterned textile with deformations via optimal control theory
Dimension reduction and Mutual Fund Theorem in maximin setting for bond market
1.  Department of Mathematics and Statistics, Curtin University, GPO Box U1987, Perth, Western Australia, 6845, Australia 
References:
[1] 
T. R. Bielecki and S. R. Pliska, Risk sensitive control with applications to fixed income portfolio management,, "European Congress of Mathematics, Vol. II", 202 (2001), 331. 
[2] 
M. J. Brennan, The role of learning in dynamic portfolio decisions,, European Finance Review, 1 (1998), 295. doi: 10.1023/A:1009725805128. 
[3] 
J. Cvitanić, Minimizing expected loss of hedging in incomplete and constrained markets,, SIAM J. of Control and Optimization, 38 (2000), 1050. doi: 10.1137/S036301299834185X. 
[4] 
J. Cvitanić and I. Karatzas, On dynamic measures of risk,, Finance and Stochastics, 3 (1999), 451. 
[5] 
N. Dokuchaev, Maximin investment problems for discounted and total wealth,, IMA Journal Management Mathematics, 19 (2008), 63. doi: 10.1093/imaman/dpm031. 
[6] 
N. Dokuchaev, "Mathematical Finance: Core Theory, Problems, and Statistical Algorithms,", Routledge, (2007). doi: 10.4324/9780203964729. 
[7] 
N. Dokuchaev, Saddle points for maximin investment problems with observable but nonpredictable parameters: Solution via heat equation,, IMA J. Management Mathematics, 17 (2006), 257. doi: 10.1093/imaman/dpi041. 
[8] 
N. G. Dokuchaev, Optimal solution of investment problems via linear parabolic equations generated by Kalman filter,, SIAM J. of Control and Optimization, 44 (2005), 1239. doi: 10.1137/S036301290342557X. 
[9] 
N. G. Dokuchaev and U. Haussmann, Optimal portfolio selection and compression in an incomplete market,, Quantitative Finance, 1 (2001), 336. doi: 10.1088/14697688/1/3/305. 
[10] 
N. G. Dokuchaev and K. L. Teo, "A Duality Approach to an Optimal Investment Problem with Unknown and Nonobservable Parameters,", Department of Applied Mathematics, (1998). 
[11] 
N. G. Dokuchaev and K. L. Teo, Optimal hedging strategy for a portfolio investment problem with additional constraints,, Dynamics of Continuous, 7 (2000), 385. 
[12] 
I. Karatzas and S. E. Shreve, "Methods of Mathematical Finance,", Applications of Mathematics (New York), 39 (1998). 
[13] 
A. Khanna and M. Kulldorff, A generalization of the mutual fund theorem,, Finance and Stochastics, 3 (1999), 167. doi: 10.1007/s007800050056. 
[14] 
S. Komuro and H. Konno, Empirical studies on internationally diversified investment using a stockbond integrated model,, Journal of Industrial and Management Optimization, 1 (2005), 433. 
[15] 
D. Lambertone and B. Lapeyre, "Introduction to Stochastic Calculus Applied to Finance,", Chapman & Hall, (1996). 
[16] 
Libin Mou and Jiongmin Yong, Twoperson zerosum linear quadratic stochastic differential games by a Hilbert space method,, Journal of Industrial and Management Optimization, 2 (2006), 95. 
[17] 
M. Rutkowski, Selffinancing trading strategies for sliding, rollinghorizon, and consol bonds,, Mathematical Finance, 9 (1999), 361. doi: 10.1111/14679965.00074. 
[18] 
W. Schachermayer, M. Sîrbu and E. Taflin, In which financial markets do mutual fund theorems hold true?,, Finance and Stochastics, 13 (2009), 49. doi: 10.1007/s007800080072x. 
[19] 
M. Yaari, The dual theory of choice under risk,, Econometrica, 55 (1987), 95. doi: 10.2307/1911158. 
show all references
References:
[1] 
T. R. Bielecki and S. R. Pliska, Risk sensitive control with applications to fixed income portfolio management,, "European Congress of Mathematics, Vol. II", 202 (2001), 331. 
[2] 
M. J. Brennan, The role of learning in dynamic portfolio decisions,, European Finance Review, 1 (1998), 295. doi: 10.1023/A:1009725805128. 
[3] 
J. Cvitanić, Minimizing expected loss of hedging in incomplete and constrained markets,, SIAM J. of Control and Optimization, 38 (2000), 1050. doi: 10.1137/S036301299834185X. 
[4] 
J. Cvitanić and I. Karatzas, On dynamic measures of risk,, Finance and Stochastics, 3 (1999), 451. 
[5] 
N. Dokuchaev, Maximin investment problems for discounted and total wealth,, IMA Journal Management Mathematics, 19 (2008), 63. doi: 10.1093/imaman/dpm031. 
[6] 
N. Dokuchaev, "Mathematical Finance: Core Theory, Problems, and Statistical Algorithms,", Routledge, (2007). doi: 10.4324/9780203964729. 
[7] 
N. Dokuchaev, Saddle points for maximin investment problems with observable but nonpredictable parameters: Solution via heat equation,, IMA J. Management Mathematics, 17 (2006), 257. doi: 10.1093/imaman/dpi041. 
[8] 
N. G. Dokuchaev, Optimal solution of investment problems via linear parabolic equations generated by Kalman filter,, SIAM J. of Control and Optimization, 44 (2005), 1239. doi: 10.1137/S036301290342557X. 
[9] 
N. G. Dokuchaev and U. Haussmann, Optimal portfolio selection and compression in an incomplete market,, Quantitative Finance, 1 (2001), 336. doi: 10.1088/14697688/1/3/305. 
[10] 
N. G. Dokuchaev and K. L. Teo, "A Duality Approach to an Optimal Investment Problem with Unknown and Nonobservable Parameters,", Department of Applied Mathematics, (1998). 
[11] 
N. G. Dokuchaev and K. L. Teo, Optimal hedging strategy for a portfolio investment problem with additional constraints,, Dynamics of Continuous, 7 (2000), 385. 
[12] 
I. Karatzas and S. E. Shreve, "Methods of Mathematical Finance,", Applications of Mathematics (New York), 39 (1998). 
[13] 
A. Khanna and M. Kulldorff, A generalization of the mutual fund theorem,, Finance and Stochastics, 3 (1999), 167. doi: 10.1007/s007800050056. 
[14] 
S. Komuro and H. Konno, Empirical studies on internationally diversified investment using a stockbond integrated model,, Journal of Industrial and Management Optimization, 1 (2005), 433. 
[15] 
D. Lambertone and B. Lapeyre, "Introduction to Stochastic Calculus Applied to Finance,", Chapman & Hall, (1996). 
[16] 
Libin Mou and Jiongmin Yong, Twoperson zerosum linear quadratic stochastic differential games by a Hilbert space method,, Journal of Industrial and Management Optimization, 2 (2006), 95. 
[17] 
M. Rutkowski, Selffinancing trading strategies for sliding, rollinghorizon, and consol bonds,, Mathematical Finance, 9 (1999), 361. doi: 10.1111/14679965.00074. 
[18] 
W. Schachermayer, M. Sîrbu and E. Taflin, In which financial markets do mutual fund theorems hold true?,, Finance and Stochastics, 13 (2009), 49. doi: 10.1007/s007800080072x. 
[19] 
M. Yaari, The dual theory of choice under risk,, Econometrica, 55 (1987), 95. doi: 10.2307/1911158. 
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