Legendre transform-dual solution for investment and consumption problem under the Vasicek model
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Publication:890628
DOI10.1007/s11424-014-1165-6zbMath1327.93409OpenAlexW2345565033MaRDI QIDQ890628
Publication date: 10 November 2015
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-014-1165-6
dynamic programmingLegendre transforminvestment and consumptionthe closed-form solutionthe Vasicek model
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42)
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