OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS
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Publication:5164391
DOI10.1017/S1446181121000122zbMath1477.62305OpenAlexW3186466571MaRDI QIDQ5164391
Caibin Zhang, Zhibin Liang, Kam-Chuen Yuen
Publication date: 11 November 2021
Published in: The ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s1446181121000122
Hamilton-Jacobi-Bellman equationregime switchingstochastic maximum principlejump-diffusion processportfolio and consumption
Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02) Portfolio theory (91G10)
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