Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients (Q1379951)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients |
scientific article |
Statements
Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients (English)
0 references
5 March 1998
0 references
continuous-time finite-horizon single-agent consumption and portfolio decision problem
0 references
bankruptcy
0 references
optimal stopping
0 references
martingale theory
0 references
Girsanov change of measure
0 references
0 references
0 references
0 references
0 references
0 references
0 references
