Errata corrige optimal portfolio and consumption with habit formation in a jump diffusion market

DOI10.1016/j.amc.2014.01.060zbMath1410.91428OpenAlexW2040286958MaRDI QIDQ1646097

Jin Hu, Jiexiang Huang, Wenli Zhu, Xinfeng Ruan

Publication date: 22 June 2018

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.01.060

zbMATH Keywords

stochastic controlequity premium puzzlethe maximum principlehabit formationjump diffusions marketportfolio and consumption

Mathematics Subject Classification ID

Cites Work

• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
• Optimal portfolio and consumption with habit formation in a jump diffusion market

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