Investment/Consumption Problem in Illiquid Markets with Regime-Switching (Q3192141)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Investment/Consumption Problem in Illiquid Markets with Regime-Switching |
scientific article |
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Investment/Consumption Problem in Illiquid Markets with Regime-Switching (English)
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26 September 2014
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optimal consumption
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liquidity effects
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regime-switching models
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Markov chain
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stochastic control
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dynamic programming method
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viscosity solutions
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integro-partial differential system
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