Consumption optimization for recursive utility in a jump-diffusion model
Year of publication: |
November 2016
|
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Authors: | Antonelli, Fabio ; Mancini, Carlo |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 39.2016, 2, p. 293-310
|
Subject: | BSDEs | Jump-diffusion processes | Recursive utility | Consumption process | Homogeneity | Inverse problem | Theorie | Theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Nutzenfunktion | Utility function |
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