A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
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Publication:3005846
DOI10.1111/j.1467-9965.2008.00350.xzbMath1214.91107MaRDI QIDQ3005846
Publication date: 9 June 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00350.x
integro-differential equations; liquidity; random trading times; portfolio/consumption problem; cost of liquidity
93E20: Optimal stochastic control
91G80: Financial applications of other theories
91G10: Portfolio theory
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