Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models
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Publication:5256324
DOI10.1080/15326349.2014.999286zbMath1315.91058arXiv1406.3112OpenAlexW2271054625MaRDI QIDQ5256324
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Publication date: 22 June 2015
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1406.3112
regime switchingMarkov-modulatedutility maximizationmartingale methodoptimal investment-consumptionjump-telegraph modelpure jump model
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Related Items (2)
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