Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching
DOI10.4064/BC105-0-8zbMATH Open1322.49042OpenAlexW2688828842MaRDI QIDQ5265538FDOQ5265538
Fausto Gozzi, Huyên Pham, 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
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continuous-time Markov chaindynamic programmingHamilton-Jacobi-Bellman equationviscosity solutionilliquid marketsinvestment/consumption problem
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Auctions, bargaining, bidding and selling, and other market models (91B26) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Continuous-time Markov processes on discrete state spaces (60J27) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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