Impact of time illiquidity in a mixed market without full observation
Salvatore Federico, Paul Gassiat, Fausto Gozzi
| Year of publication: |
April 2017
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| Authors: | Federico, Salvatore ; Gassiat, Paul ; Gozzi, Fausto |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 2, p. 401-437
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| Subject: | investment-consumption problem | liquidity risk | optimal stochastic control | Hamilton-Jacobi-Bellman equation | viscosity solutions | regularity of viscosity solutions | Theorie | Theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Liquidität | Liquidity | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12101 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011752503