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zbMath0978.93081MaRDI QIDQ2712223

Ulrich G. Haussmann, Phillip Collings

Publication date: 7 February 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Hamilton-Jacobi-Bellman equation viscosity solution random time change portfolio selection singular control Markov chain approximation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (1)

A multi-asset investment and consumption problem with transaction costs

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