On the ε-sufficient control in one merton problem with “physical” white noise

DOI10.1007/S11253-010-0272-3zbMath1224.91180OpenAlexW2003298269MaRDI QIDQ3076437

B. V. Bondarev, S. M. Kozyr'

Publication date: 22 February 2011

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11253-010-0272-3

zbMATH Keywords

Poisson processinvestmentconsumptionexponential modelMerton problemrisk assets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Utility theory (91B16)

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