Impact of time illiquidity in a mixed market without full observation (Q6497101)

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scientific article; zbMATH DE number 7842763
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English
Impact of time illiquidity in a mixed market without full observation
scientific article; zbMATH DE number 7842763

    Statements

    title
    Impact of time illiquidity in a mixed market without full observation (English)
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    author
    Salvatore Federico
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    Paul Gassiat
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    Fausto Gozzi
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    publication date
    6 May 2024
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    zbMATH Keywords
    investment-consumption problem
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    liquidity risk
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    optimal stochastic control
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    Hamilton-Jacobi-Bellman equation
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    viscosity solutions
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    regularity of viscosity solutions
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    cites work
    Q2774021
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    Q4039796
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    Q3755824
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    Q4550917
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    Q4255599
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    Identifiers

    DOI
    10.1111/mafi.12101
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    zbMATH DE Number
    7842763
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