Optimal investment-consumption problem with constraint (Q380510)

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Optimal investment-consumption problem with constraint
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    Statements

    title
    Optimal investment-consumption problem with constraint (English)
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    author
    Jingzhen Liu
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    Ka-Fai Cedric Yiu
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    Q330309
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    Kok Lay Teo
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    publication date
    14 November 2013
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    zbMATH Keywords
    investment
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    consumption
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    martingale
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    duality
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    dynamic risk constraint
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60G46
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    90C15
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    zbMATH DE Number
    6226887
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