Investment–consumption with regime-switching discount rates

descriptionPublicationkeyboard_double_arrow_right Article 01 Sep 2014 English Publisher:Elsevier BVJournal:Mathematical Social Sciences, volume 71, pages 142-150 (issn: 0165-4896,

Copyright policy )Funded by:NSERC | unidentified

Authors: Traian A. Pirvu; Huayue Zhang;

doi: 10.1016/j.mathsocsci.2014.07.001

Investment–consumption with regime-switching discount rates

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Abstract

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Related Organizations

McMaster University
Canada
Nankai University
China (People's Republic of)

Keywords

Portfolio theory, Applications of continuous-time Markov processes on discrete state spaces, Applications of stochastic analysis (to PDEs, etc.), Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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