Ken Sennewald

Ifo Institute for Economic Research

Munich

Germany

SCHOLARLY PAPERS

1

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745

TOTAL CITATIONS

9

Scholarly Papers (1)

1.

'Ito's Lemma' and the Bellman Equation for Poisson Processes: An Applied View

CESifo Working Paper Series No. 1684
Number of pages: 35 Posted: 31 Mar 2006
Ken Sennewald and Klaus Wälde
Ifo Institute for Economic Research and University of Mainz
Downloads 745 (68,975)
Citation 9

Abstract:

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stochastic differential equation, Poisson process, Bellman equation, portfolio optimization, consumption optimization