Optimal Portfolio and Consumption Policies Subject to Rishel's Important Jump Events Model: Computational Methods

DOI10.1109/TAC.2004.824477zbMath1366.91139MaRDI QIDQ5273705

John J. Westman, Floyd B. Hanson

Publication date: 12 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Numerical solutions to stochastic differential and integral equations (65C30) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10)

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