Some stability results of optimal investment in a simple Lévy market

DOI10.1016/J.INSMATHECO.2007.05.005zbMath1141.91463OpenAlexW2090165232MaRDI QIDQ939388

Liqun Niu

Publication date: 22 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.05.005

zbMATH Keywords

weak convergenceLévy processoptimal investmentmartingale methodHARA

Mathematics Subject Classification ID

Cites Work

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