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

consumptionexponential modelinvestmentMerton problemPoisson processrisk assets

Mathematics Subject Classification ID

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

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(3)

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

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