“Itô's Lemma” and the Bellman Equation for Poisson Processes: An Applied View
| Year of publication: |
2006
|
|---|---|
| Authors: | Sennewald, Ken ; Wälde, Klaus |
| Published in: |
Journal of Economics. - Springer. - Vol. 89.2006, 1, p. 1-36
|
| Publisher: |
Springer |
| Subject: | stochastic differential equation | Poisson process | Bellman equation | portfolio optimization | consumption optimization |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005547086