Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching

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DOI10.4064/bc105-0-8zbMath1322.49042OpenAlexW2688828842MaRDI QIDQ5265538

Huyên Pham, Fausto Gozzi, Paul Gassiat

Publication date: 28 July 2015

Published in: Banach Center Publications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/bc105-0-8

zbMATH Keywords

Hamilton-Jacobi-Bellman equation dynamic programming viscosity solution continuous-time Markov chain illiquid markets investment/consumption problem

Mathematics Subject Classification ID

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