An Optimal Consumption Problem for General Factor Models
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Publication:4586150
DOI10.1137/17M1135864zbMath1395.91407OpenAlexW2891746020MaRDI QIDQ4586150
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Publication date: 12 September 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/17m1135864
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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