An optimal portfolio problem in a defaultable market
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Publication:3059692
DOI10.1239/aap/1282924059zbMath1203.93206OpenAlexW2148751032MaRDI QIDQ3059692
Xuewei Yang, Li Jun Bo, Yong Jin Wang
Publication date: 26 November 2010
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1282924059
Hamilton-Jacobi-Bellman equationportfolio optimizationstochastic factorsub/super-solutiondefaultable security
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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