Dynamic programming for semi-Markov modulated SDEs
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Publication:5093684
DOI10.1080/02331934.2020.1839072zbMath1492.90188OpenAlexW3095122676MaRDI QIDQ5093684
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Publication date: 1 August 2022
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2020.1839072
Dynamic programming (90C39) Markov renewal processes, semi-Markov processes (60K15) Financial applications of other theories (91G80) Existence of optimal solutions to problems involving randomness (49J55)
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Optimal control for uncertain random continuous-time systems ⋮ Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
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