A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
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Publication:1186298
DOI10.1214/aoap/1177005772zbMath0745.93083OpenAlexW1981833044MaRDI QIDQ1186298
Publication date: 28 June 1992
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177005772
Economic growth models (91B62) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Optimality conditions for problems involving randomness (49K45)
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