Optimal consumption-investment problems in incomplete markets with stochastic coefficients

SIAM Journal on Control and Optimization

Volumn 44, Issue 4, 2005, Pages 1322-1344

  Castañeda Leyva, Netzahualcóyotl ^a   Hernández Hernández, Daniel ^b  

^a UNIVERSIDAD AUTÓNOMA DE AGUASCALIENTES   (Mexico)

^b CENTRO DE INVESTIGACIÓN EN MATEMÁTICAS   (Mexico)

Author keywords

Black Scholes model; Incomplete markets; Martingale method; Optimal control; Optimal investment and consumption; Stochastic volatility

Indexed keywords

DIFFUSION; INVENTORY CONTROL; INVESTMENTS; MATHEMATICAL MODELS; OPTIMIZATION; PROBLEM SOLVING; STOCHASTIC CONTROL SYSTEMS;

BLACK-SCHOLES MODELS; INCOMPLETE MARKETS; MARTINGALE METHODS; OPTIMAL CONTROLS; OPTIMAL INVESTMENT AND CONSUMPTION; STOCHASTIC VOLATILITY;

OPTIMAL CONTROL SYSTEMS;

EID: 33746049441     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012904440885     Document Type: Article

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