``Itō's lemma and the Bellman equation for Poisson processes: An applied view
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Publication:857923
DOI10.1007/s00712-006-0203-9zbMath1151.91539OpenAlexW2106229205WikidataQ125053328 ScholiaQ125053328MaRDI QIDQ857923
Publication date: 5 January 2007
Published in: Journal of Economics (Search for Journal in Brave)
Full work available at URL: https://www.cesifo.org/DocDL/cesifo1_wp1684.pdf
stochastic differential equationBellman equationportfolio optimizationPoisson processconsumption optimization
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- A contribution to the pure theory of money
- Optimum portfolio diversification in a general continuous-time model
- ``Itō's lemma and the Bellman equation for Poisson processes: An applied view
- Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
- Stochastic comparisons of Itô processes
- Optimal saving under Poisson uncertainty
- Hedging in incomplete markets with HARA utility
- Stochastic growth under Wiener and Poisson uncertainty
- A Model of Growth Through Creative Destruction
- An elementary theory of stochastic differential equations driven by a poisson process
- A Closed-form Solution for a Model of Precautionay Saving
- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
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