Optimal investment-consumption-insurance strategy with inflation risk and stochastic income in an Itô-Lévy setting
Gaoganwe S. Moagi and Obonye Doctor
Year of publication: |
2024
|
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Authors: | Moagi, Gaoganwe S. ; Doctor, Obonye |
Published in: |
International journal of financial engineering. - Singapore [u.a.] : World Scientific, ISSN 2424-7944, ZDB-ID 2832512-6. - Vol. 11.2024, 2, Art.-No. 2350054, p. 1-19
|
Subject: | Girsanov's theorem | Hamilton-Jacobi-Bellman dynamic programming (HJB) | jump diffusion process | Optimal portfolio | Radon-Nikodym theorem | stochastic optimal controls | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | Dynamische Optimierung | Dynamic programming | Mathematische Optimierung | Mathematical programming |
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