A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS
DOI10.1142/S0219024914500277zbMath1305.91223OpenAlexW2060499529MaRDI QIDQ2874733
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Publication date: 8 August 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024914500277
stochastic controlMarkov chainregime-switching modeloptimal investment and consumptionHamilton-Jacobi-Bellman (HJB) equation
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) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
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