Merton investment problems in finance and insurance for the Hawkes-Based models
Year of publication: |
2021
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Authors: | Sviščuk, Anatolij |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 9.2021, 6, Art.-No. 108, p. 1-13
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Subject: | Merton investment problem | optimal control | Hawkes process | general compoundHawkes process | LLN and FCLT | risk process | HJB equations | optimal investment in finance | optimalinvestment in insurance | diffusion approximation | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Investition | Investment | Kontrolltheorie | Control theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks9060108 [DOI] hdl:10419/258196 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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