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Time-consistent investment and consumption strategies under a general discount function - MaRDI portal

Time-consistent investment and consumption strategies under a general discount function

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Publication:6287275

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arXiv1705.10602MaRDI QIDQ6287275

Farid Chighoub, Nabil Khelfallah, Ishak Alia, Josep Vives

Publication date: 28 May 2017

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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