Optimal investment-consumption-insurance with random parameters
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Publication:4576957
DOI10.1080/03461238.2014.900518zbMath1401.91193OpenAlexW1983487256MaRDI QIDQ4576957
Publication date: 11 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2014.900518
HJB equationbackward stochastic differential equationrandom parametersstochastic Lipschitz conditioninvestment-consumption-insurance
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)
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