Some problems for Clark's model. II. A solution for Merton's portfolio problem (Q465988)
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scientific article; zbMATH DE number 6361232
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Some problems for Clark's model. II. A solution for Merton's portfolio problem |
scientific article; zbMATH DE number 6361232 |
Statements
Some problems for Clark's model. II. A solution for Merton's portfolio problem (English)
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24 October 2014
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stochastic integral over Poisson measure
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Bellman equation
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optimal control
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