“Itô's Lemma” and the Bellman Equation for Poisson Processes: An Applied View

Ken Sennewald () and Klaus Wälde

Journal of Economics, 2006, vol. 89, issue 1, 36 pages

Keywords: stochastic differential equation; Poisson process; Bellman equation; portfolio optimization; consumption optimization; C61; D81; D90; G11 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:kap:jeczfn:v:89:y:2006:i:1:p:1-36

DOI: 10.1007/s00712-006-0203-9

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