A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization-Reference-Cited by-同舟云学术

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A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization

Published:2024 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Yang Zhou,Jeon Junkee

Publisher

Elsevier BV

Reference52 articles.

1. Optimal investment with time-varying stochastic endowments;C Belak;SIAM Journal on Financial Mathematics,2022

2. Finite-horizon optimal investment with transaction costs: construction of the optimal strategies;C Belak;Finance and Stochastics,2019

3. Viscosity solutions of system of pdes with interconnected obstacles and nonlinear neumann boundary conditions;B Boufoussi;Journal of Mathematical Analysis and Applications,2023

4. Optimal Retirement Problem under Partial Information;K Chen;Mathematics of Operations Research,2022

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