Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching (Q5265538): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 20:18, 8 February 2024
scientific article; zbMATH DE number 6466863
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching |
scientific article; zbMATH DE number 6466863 |
Statements
Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching (English)
0 references
28 July 2015
0 references
dynamic programming
0 references
investment/consumption problem
0 references
illiquid markets
0 references
continuous-time Markov chain
0 references
Hamilton-Jacobi-Bellman equation
0 references
viscosity solution
0 references
