Optimal investment strategies in a CIR framework

DOI10.1239/jap/1014843074zbMath0989.91040OpenAlexW1995589708MaRDI QIDQ2725291

Pierre-François Koehl, Martino Grasselli, Griselda Deelstra

Publication date: 18 July 2002

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/7e4f14bb1d921070384a8643a87df496d2262cf1

zbMATH Keywords

stochastic optimizationstochastic interest rateconsumption-investment strategyCox-Ingersoll-Ross dynamics

Mathematics Subject Classification ID

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