Optimal investment in multidimensional Markov-modulated affine models (Q902185)
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scientific article; zbMATH DE number 6527179
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| English | Optimal investment in multidimensional Markov-modulated affine models |
scientific article; zbMATH DE number 6527179 |
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Optimal investment in multidimensional Markov-modulated affine models (English)
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7 January 2016
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HJB systems
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utility maximization
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multidimensional affine models
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Markov chains
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0.8845617771148682
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0.7774323225021362
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0.771227240562439
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0.7678260207176208
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