"Itô's Lemma" and the bellman equation for poisson processes: An applied view

Journal of Economics/ Zeitschrift fur Nationalokonomie

Volumn 89, Issue 1, 2006, Pages 1-36

  Sennewald, Ken ^a   Wälde, Klaus ^b  

^a IFO INSTITUTE   (Germany)

^b UNIVERSITY OF WÜRZBURG   (Germany)

Author keywords

Bellman equation; Consumption optimization; Poisson process; Portfolio optimization; Stochastic differential equation

Indexed keywords

EID: 33751030263     PISSN: 09318658     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00712-006-0203-9     Document Type: Article

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