Optimal portfolio and consumption selection with default risk
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Publication:1946970
DOI10.1007/s11464-012-0224-3zbMath1267.91060OpenAlexW2121469419MaRDI QIDQ1946970
Xuewei Yang, Li Jun Bo, Yong Jin Wang
Publication date: 10 April 2013
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-012-0224-3
constrained viscosity solutionHamilton-Jacobi-Bellman (HJB) equationaverage past consumptiondefaultable securitypost(pre)-default
Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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Cites Work
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