A computational scheme for the optimal strategy in an incomplete market

DOI10.1016/j.jedc.2006.12.006zbMath1163.93400MaRDI QIDQ1027435

Jussi Keppo, Michael G. Sullivan, Xu Meng

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2006.12.006

zbMATH Keywords

numerical methods; incomplete markets; utility maximization; endowment uncertainty

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

Related Items

Unemployment Risks and Optimal Retirement in an Incomplete Market

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