An optimal consumption model with stochastic volatility
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Publication:1424715
DOI10.1007/s007800200083zbMath1035.60028OpenAlexW2049388336MaRDI QIDQ1424715
Daniel Hernández-Hernández, Wendell H. Fleming
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800200083
Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Functional limit theorems; invariance principles (60F17) Portfolio theory (91G10)
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