Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
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Publication:5950461
DOI10.1007/PL00013538zbMath0978.91039OpenAlexW2089772788MaRDI QIDQ5950461
Kristin Reikvam, Fred Espen Benth, Kenneth Hvistendahl Karlsen
Publication date: 12 December 2001
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/pl00013538
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)
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