On the -sufficient control in a Merton problem with ``physical white noise

DOI10.1007/S11253-010-0272-3MaRDI QIDQ3076437zbMATH OpenOpenAlexFDO

Authors B. V. Bondarev, S. M. Kozyr

Publication date 22 February 2011

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11253-010-0272-3

zbMATH Keywords

investmentPoisson processexponential modelconsumptionMerton problemrisk assets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Utility theory (91B16)

Recommendations

• On \(\epsilon\)-sufficient control in the Merton problem.
• scientific article; zbMATH DE number 5055325
• Publication:4939944
• scientific article; zbMATH DE number 1409861
• Publication:4939740

Cited in

(3)

• On \(\epsilon\)-sufficient control in the Merton problem.
• On \(\delta(\epsilon)\)-sufficient control for an endowment fund with consumption acting as an insurance company.
• On \(\delta(\epsilon)\)-sufficient control for saving-expenditure funds with consumption acting as an insurance company. II.

This page was built for publication: On the \(\varepsilon\)-sufficient control in a Merton problem with ``physical white noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3076437)