Utility Maximization with Discretionary Stopping
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/S0363012998346323
Reference12 articles.
1. Optimal consumption and portfolio policies when asset prices follow a diffusion process
2. Convex Duality in Constrained Portfolio Optimization
3. A Problem of Singular Stochastic Control with Discretionary Stopping
4. Martingales and stochastic integrals in the theory of continuous trading
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