Optimal consumption and portfolio under inflation and Markovian switching
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Publication:5411905
DOI10.1080/17442508.2011.651217zbMath1285.91117OpenAlexW1965115663MaRDI QIDQ5411905
Publication date: 25 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2011.651217
inflationHJB equationsoptimal consumption and portfoliofinancial market with Markovian switchinggeneralized Itō formula
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)
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