Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients (Q1379951)
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scientific article; zbMATH DE number 1124794
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients |
scientific article; zbMATH DE number 1124794 |
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Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients (English)
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5 March 1998
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continuous-time finite-horizon single-agent consumption and portfolio decision problem
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bankruptcy
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optimal stopping
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martingale theory
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Girsanov change of measure
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