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

DOI10.1007/S11253-010-0272-3zbMATH Open1224.91180OpenAlexW2003298269MaRDI QIDQ3076437FDOQ3076437

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

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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)

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

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