Optimal investment and consumption for financial markets with jumps under transaction costs (Q6181518): Difference between revisions

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Revision as of 09:14, 22 August 2024

scientific article; zbMATH DE number 7782840
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English
Optimal investment and consumption for financial markets with jumps under transaction costs
scientific article; zbMATH DE number 7782840

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    Optimal investment and consumption for financial markets with jumps under transaction costs (English)
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    2 January 2024
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    financial markets
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    optimal investment/consumption problem
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    stochastic control
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    dynamic programming
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    Hamilton-Jacobi-Bellman equation
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