A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS (Q2874733)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS |
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A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS (English)
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8 August 2014
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optimal investment and consumption
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regime-switching model
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Markov chain
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stochastic control
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Hamilton-Jacobi-Bellman (HJB) equation
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