Sequential $\delta$-Optimal Consumption and Investment for Stochastic Volatility Markets with Unknown Parameters

DOI10.1137/S0040585X97T987867zbMath1352.91030arXiv1210.5111MaRDI QIDQ3178724

Belkacem Berdjane, Serguei Pergamenchtchikov

Publication date: 7 December 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5111

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic volatilitysequential analysisoptimal consumption and investmentBlack-Scholes market modeltruncate sequential estimate

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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