Publication:4356587
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zbMath0898.90037MaRDI QIDQ4356587
Publication date: 1 October 1997
dynamic programming; variational inequality; risky assets; Merton problem; finite horizon problem; dynamic optimization of portfolios; singular stochastic problems; transaction cost problem
49L20: Dynamic programming in optimal control and differential games
91B24: Microeconomic theory (price theory and economic markets)
90C39: Dynamic programming
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