Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
DOI10.1016/j.nahs.2018.04.005zbMath1419.91588arXiv1804.08442OpenAlexW2963986231WikidataQ129816640 ScholiaQ129816640MaRDI QIDQ1730323
Publication date: 6 March 2019
Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.08442
Optimal stochastic control (93E20) Laplace transform (44A10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Portfolio theory (91G10)
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