Optimal Investment Problems with Marked Point Processes

DOI10.1007/978-3-0348-0021-1_22zbMath1246.91160OpenAlexW196648844MaRDI QIDQ2904887

Claudia Ceci

Publication date: 24 August 2012

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0021-1_22

zbMATH Keywords

utility maximizationoptimal stochastic controlpure jump processes

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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