EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
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Publication:3393971
DOI10.1111/j.1467-9965.2009.00366.xzbMath1168.91400MaRDI QIDQ3393971
Abel Cadenillas, Luz R. Sotomayor
Publication date: 28 August 2009
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00366.x
Markov chains; stochastic control; regime switching; nonlinear ordinary differential equations; optimal consumption-investment; utility of consumption
91G10: Portfolio theory
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