Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching (Q5265538)
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scientific article; zbMATH DE number 6466863
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching |
scientific article; zbMATH DE number 6466863 |
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Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching (English)
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28 July 2015
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dynamic programming
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investment/consumption problem
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illiquid markets
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continuous-time Markov chain
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Hamilton-Jacobi-Bellman equation
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viscosity solution
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