EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING

DOI10.1111/j.1467-9965.2009.00366.xzbMath1168.91400OpenAlexW2014282155MaRDI 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

zbMATH Keywords

Markov chainsstochastic controlregime switchingnonlinear ordinary differential equationsoptimal consumption-investmentutility of consumption

Mathematics Subject Classification ID

Portfolio theory (91G10)

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