Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset (Q2251580)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset |
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Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset (English)
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14 July 2014
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optimal stochastic control
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Hamilton-Jacobi-Bellman equation
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viscosity solutions
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comparison principle
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investment-consumption problem
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liquidity risk
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