“Itô's Lemma” and the Bellman Equation for Poisson Processes: An Applied View
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- Sennewald, Ken & Wälde, Klaus, 2005. ""Ito's Lemma" and the Bellman equation for Poisson processes: An applied view," W.E.P. - Würzburg Economic Papers 58, University of Würzburg, Chair for Monetary Policy and International Economics.
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More about this item
Keywordsstochastic differential equation; Poisson process; Bellman equation; portfolio optimization; consumption optimization; C61; D81; D90; G11;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D90 - Microeconomics - - Micro-Based Behavioral Economics - - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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