Optimal consumption and portfolio with dividends and regime switching under Knightian uncertainty

DOI10.3969/J.ISSN.1006-6330.2014.02.012MaRDI QIDQ5499423zbMATH OpenFDO

Authors Lei Pan, Weiyin Fei

Publication date 11 February 2015

Full work available at URL https://doi.org/10.3969/J.ISSN.1006-6330.2014.02.012

zbMATH Keywords

Knightian uncertaintyMonte Carlo Malliavin derivative methodportfolio choiceregime switching

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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