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Merton problem with one additional indivisible asset - MaRDI portal

Merton problem with one additional indivisible asset

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Publication:5507134

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DOI10.4467/20843828AM.15.005.3909zbMath1354.91145arXiv1403.3223MaRDI QIDQ5507134

Jakub Trybuła

Publication date: 16 December 2016

Full work available at URL: https://arxiv.org/abs/1403.3223

zbMATH Keywords

optimal stopping HJB equation indivisible asset investor problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

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