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Optimal consumption and portfolio control for jump-diffusion stock process with log-normal jumps.

Floyd B. HansonJohn J. Westman
Published in: ACC (2002)
Keyphrases
  • log normal
  • dynamic programming
  • optimal control
  • markov chain
  • process model
  • control charts
  • optimal solution
  • control system
  • closed form
  • stock market
  • control structure
  • human errors