OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS (Q5164391)
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scientific article; zbMATH DE number 7424104
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS |
scientific article; zbMATH DE number 7424104 |
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OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS (English)
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11 November 2021
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portfolio and consumption
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jump-diffusion process
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regime switching
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Hamilton-Jacobi-Bellman equation
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stochastic maximum principle
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