Tao Pang, Azmat Hussain. An Application of Functional Ito's Formula to Stochastic Portfolio Optimization with Bounded Memory. In Catherine Bonnet, Bozenna Pasik-Duncan, Hitay Özbay, Qing Zhang 0003, editors, 2015 Proceedings of the Conference on Control and its Applications, Paris, France, July 8-10, 2015. pages 159-166, SIAM, 2015. [doi]
Abstract is missing.