Some problems for Clark's model. II. A solution for Merton's portfolio problem

DOI10.1007/s10559-013-9560-xzbMath1298.91131OpenAlexW2013990107MaRDI QIDQ465988

O. E. Sosnytskyy, B. V. Bondarev

Publication date: 24 October 2014

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-013-9560-x

zbMATH Keywords

optimal controlBellman equationstochastic integral over Poisson measure

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (1)

The optimal control of the consumer fund with the functions of the insurance company under assumption of the work on the financial market with the advertising strategy

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Some problems for Clark's model. I. Estimating the non-ruin probability for an insurance company
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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