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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...

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Bibliographic Details
Date:	2009
Main Authors:	Bondarev, B. V., Kozyr', S. M., Бондарев, Б. В., Козырь, С. М.
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
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Journal Title:	Ukrains’kyi Matematychnyi Zhurnal
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