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

Floyd B. Hanson, John J. Westman. Optimal consumption and portfolio control for jump-diffusion stock process with log-normal jumps. In American Control Conference, ACC 2002, Anchorage, Alaska, USA, May 8-10 2002. pages 4256-4261, IEEE, 2002. [doi]

Authors

Floyd B. Hanson

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John J. Westman

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