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Portfolio choice
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Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
Reikvam, Kristin
;
Benth, Fred Espen
;
Karlsen, Kenneth …
- In:
Finance and Stochastics
5
(
2001
)
3
,
pp. 275-303
prove a new comparison (uniqueness) result for the
state
constraint
problem
for a class of integro-differential variational …
Persistent link: https://www.econbiz.de/10005390663
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