{"id":"https://openalex.org/W2141431087","doi":"https://doi.org/10.1007/s00186-010-0320-7","title":"A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization","display_name":"A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization","publication_year":2010,"publication_date":"2010-07-16","ids":{"openalex":"https://openalex.org/W2141431087","doi":"https://doi.org/10.1007/s00186-010-0320-7","mag":"2141431087"},"language":"en","primary_location":{"id":"doi:10.1007/s00186-010-0320-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00186-010-0320-7","pdf_url":null,"source":{"id":"https://openalex.org/S126160977","display_name":"Mathematical Methods of Operations Research","issn_l":"1432-2994","issn":["1432-2994","1432-5217"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Methods of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5028212939","display_name":"Daniel Andersson","orcid":"https://orcid.org/0000-0002-9729-5559"},"institutions":[{"id":"https://openalex.org/I86987016","display_name":"KTH Royal Institute of Technology","ror":"https://ror.org/026vcq606","country_code":"SE","type":"education","lineage":["https://openalex.org/I86987016"]}],"countries":["SE"],"is_corresponding":true,"raw_author_name":"Daniel Andersson","raw_affiliation_strings":["Department of Mathematics, Royal Institute of Technology, 100 44, Stockholm, Sweden","Royal Inst. of Technology"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Royal Institute of Technology, 100 44, Stockholm, Sweden","institution_ids":["https://openalex.org/I86987016"]},{"raw_affiliation_string":"Royal Inst. of Technology","institution_ids":["https://openalex.org/I86987016"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5042490484","display_name":"Boualem Djehiche","orcid":"https://orcid.org/0000-0002-8171-9599"},"institutions":[{"id":"https://openalex.org/I86987016","display_name":"KTH Royal Institute of Technology","ror":"https://ror.org/026vcq606","country_code":"SE","type":"education","lineage":["https://openalex.org/I86987016"]}],"countries":["SE"],"is_corresponding":false,"raw_author_name":"Boualem Djehiche","raw_affiliation_strings":["Department of Mathematics, Royal Institute of Technology, 100 44, Stockholm, Sweden","Royal Inst. of Technology"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Royal Institute of Technology, 100 44, Stockholm, Sweden","institution_ids":["https://openalex.org/I86987016"]},{"raw_affiliation_string":"Royal Inst. of Technology","institution_ids":["https://openalex.org/I86987016"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5028212939"],"corresponding_institution_ids":["https://openalex.org/I86987016"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":7,"citation_normalized_percentile":{"value":0.22665045,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"72","issue":"2","first_page":"273","last_page":"310"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9926999807357788,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9743000268936157,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.7165013551712036},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.6432371735572815},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.6189824342727661},{"id":"https://openalex.org/keywords/maximum-principle","display_name":"Maximum principle","score":0.6018940806388855},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5690459609031677},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5526776313781738},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.5091468691825867},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5058624148368835},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4872118830680847},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.44899317622184753},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.42387300729751587},{"id":"https://openalex.org/keywords/bond","display_name":"Bond","score":0.414571076631546},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.2862084209918976},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.09643629193305969},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.07504409551620483}],"concepts":[{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.7165013551712036},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.6432371735572815},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.6189824342727661},{"id":"https://openalex.org/C31010330","wikidata":"https://www.wikidata.org/wiki/Q1914255","display_name":"Maximum principle","level":3,"score":0.6018940806388855},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5690459609031677},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5526776313781738},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.5091468691825867},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5058624148368835},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4872118830680847},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.44899317622184753},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.42387300729751587},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.414571076631546},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2862084209918976},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.09643629193305969},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.07504409551620483},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00186-010-0320-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00186-010-0320-7","pdf_url":null,"source":{"id":"https://openalex.org/S126160977","display_name":"Mathematical Methods of Operations Research","issn_l":"1432-2994","issn":["1432-2994","1432-5217"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Methods of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:compst:v:72:y:2010:i:2:p:273-310","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00186-010-0320-7","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W2324444","https://openalex.org/W659339155","https://openalex.org/W1525883337","https://openalex.org/W1557557976","https://openalex.org/W1558617747","https://openalex.org/W1967047812","https://openalex.org/W1973019427","https://openalex.org/W1977750299","https://openalex.org/W1987774970","https://openalex.org/W2033603136","https://openalex.org/W2041522674","https://openalex.org/W2060878939","https://openalex.org/W2078895915","https://openalex.org/W2168672487","https://openalex.org/W4212780424"],"related_works":["https://openalex.org/W2349883878","https://openalex.org/W4297748142","https://openalex.org/W2111722796","https://openalex.org/W3043771845","https://openalex.org/W2104232780","https://openalex.org/W2123737436","https://openalex.org/W4307617099","https://openalex.org/W2964218050","https://openalex.org/W2037349991","https://openalex.org/W2951493195"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2014,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}