Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients
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Publication:3427523
DOI10.1137/S0363012904440885zbMath1140.91381OpenAlexW2101295664MaRDI QIDQ3427523
Daniel Hernández-Hernández, Netzahualcóyotl Castañeda-Leyva
Publication date: 20 March 2007
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012904440885
optimal controlstochastic volatilityBlack-Scholes modelincomplete marketsoptimal investment and consumptionMartingale method
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
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