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Optimal Investment and Consumption under a Habit-Formation Constraint - MaRDI portal

Optimal Investment and Consumption under a Habit-Formation Constraint (Q5071493)

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scientific article; zbMATH DE number 7511193
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Optimal Investment and Consumption under a Habit-Formation Constraint
scientific article; zbMATH DE number 7511193

    Statements

    title
    Optimal Investment and Consumption under a Habit-Formation Constraint (English)
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    author
    Bahman Angoshtari
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    Erhan Bayraktar
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    Virginia R. Young
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    publication date
    21 April 2022
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    zbMATH Keywords
    optimal investment and consumption
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    habit formation
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    habit persistence
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    average past consumption
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    stochastic control
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    free-boundary problem
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    Identifiers

    DOI
    10.1137/21M1397891
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    Mathematics Subject Classification ID
    91G10
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    93E20
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    35R35
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    zbMATH DE Number
    7511193
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    arXiv ID
    2102.03414
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    OpenAlex ID
    W3130410263
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