Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market

DOI10.1051/ro/2023139OpenAlexW4386546532MaRDI QIDQ6181245

Weiwei Shen, Juliang Yin

Publication date: 22 January 2024

Published in: RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ro/2023139

zbMATH Keywords

optimal controlsub-super solutiondefaultable marketperpetual bondstochastic economic factor

Mathematics Subject Classification ID

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

Cites Work

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