MPS-RR 1999-21
June 1999
Optimal portfolio selection with consumption and nonlinear integro-differential equations
A viscosity solution approach
by:
Fred Espen Benth, Kenneth Hvistendahl Karlsen, Kristin Reikvam
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This paper has now been published in Finance and Stochastics. Vol. 5 (3), 275-303 (2001)