Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching
From MaRDI portal
Publication:5265538
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
Hamilton-Jacobi-Bellman equationdynamic programmingviscosity solutioncontinuous-time Markov chainilliquid marketsinvestment/consumption problem
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
This page was built for publication: Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching