Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters
Year of publication: |
2012-12-14
|
---|---|
Authors: | Berdjane, Belkacem ; Pergamenshchikov, Sergei |
Institutions: | HAL |
Subject: | Sequential analysis | Truncate sequential estimate | Black-Scholes market model | Stochastic volatility | Optimal Consumption and Investment | Hamilton-Jacobi-Bellman equation |
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