On the ε-sufficient control in one merton problem with “physical” white noise
We consider the Merton problem of finding the strategies of investment and consumption in the case where the evolution of risk assets is described by the exponential model and the role of the main process is played by the integral of a certain stationary “physical” white noise generated by the cente...
Saved in:
| Date: | 2009 |
|---|---|
| Main Authors: | , , , |
| Format: | Article |
| Language: | Russian English |
| Published: |
Institute of Mathematics, NAS of Ukraine
2009
|
| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/3078 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
| Download file: |  |