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Optimal investment-consumption-insurance with random parameters - MaRDI portal

Optimal investment-consumption-insurance with random parameters (Q4576957)

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scientific article; zbMATH DE number 6901743
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English
Optimal investment-consumption-insurance with random parameters
scientific article; zbMATH DE number 6901743

    Statements

    title
    Optimal investment-consumption-insurance with random parameters (English)
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    author
    Yang Shen
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    Jiaqin Wei
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    publication date
    11 July 2018
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    zbMATH Keywords
    investment-consumption-insurance
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    random parameters
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    HJB equation
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    backward stochastic differential equation
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    stochastic Lipschitz condition
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    cites work
    Q2771113
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    91G10
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    60H10
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    zbMATH DE Number
    6901743
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    OpenAlex ID
    W1983487256
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