OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS
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Publication:3173989
DOI10.1142/S0219493711003280zbMath1237.91202arXiv1010.0080MaRDI QIDQ3173989
Publication date: 11 October 2011
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.0080
backward stochastic differential equation; expected utility; investment; consumption; stochastic constraint
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G10: Portfolio theory
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