Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients (Q930670)
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scientific article; zbMATH DE number 5294983
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| English | Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients |
scientific article; zbMATH DE number 5294983 |
Statements
Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients (English)
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1 July 2008
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Banach fixed point theorem
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Feynman-Kac formula
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Hamilton-Jacobi-Bellman equation
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utility function
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Lévy process
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optimal investment and consumption
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Ornstein-Uhlenbeck process
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stochastic volatility model
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subordinator
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0.8690720200538635
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0.8609103560447693
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0.8470820188522339
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0.8009541630744934
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0.7965297102928162
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