Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach

DOI10.1016/j.amc.2011.12.065zbMath1241.91128OpenAlexW2005117496MaRDI QIDQ428104

Roy Cerqueti, Rosella Castellano

Publication date: 19 June 2012

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

Full work available at URL: http://hdl.handle.net/11573/1364590

zbMATH Keywords

dynamic programmingMonte Carlo simulationsutility maximizationstochastic control theoryjump-diffusion dynamicsoptimal consumption/investment modelthin stocks

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20)

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