Impact of time illiquidity in a mixed market without full observation
From MaRDI portal
Publication:6497101
DOI10.1111/MAFI.12101MaRDI QIDQ6497101
Fausto Gozzi, Salvatore Federico, Paul Gassiat
Publication date: 6 May 2024
Published in: Mathematical Finance (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equationviscosity solutionsoptimal stochastic controlliquidity riskregularity of viscosity solutionsinvestment-consumption problem
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