Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models (Q5256324): Difference between revisions

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Latest revision as of 08:13, 10 July 2024

scientific article; zbMATH DE number 6448696
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English
Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models
scientific article; zbMATH DE number 6448696

    Statements

    Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models (English)
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    22 June 2015
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    jump-telegraph model
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    Markov-modulated
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    martingale method
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    optimal investment-consumption
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    pure jump model
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    regime switching
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    utility maximization
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