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Duality for optimal consumption with randomly terminating income - MaRDI portal

Duality for optimal consumption with randomly terminating income (Q6054381)

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scientific article; zbMATH DE number 7743036
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English
Duality for optimal consumption with randomly terminating income
scientific article; zbMATH DE number 7743036

    Statements

    title
    Duality for optimal consumption with randomly terminating income (English)
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    author
    Ashley Davey
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    Michael Monoyios
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    Harry Zheng
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    publication date
    28 September 2023
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    zbMATH Keywords
    duality
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    HJB equation
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    portfolio optimization
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    supermartingale deflator
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    terminating income
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    utility from consumption
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    cites work
    Q4938954
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    Q4429138
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    Identifiers

    arXiv ID
    2011.00732
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    Mathematics Subject Classification ID
    91G10
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    60G46
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    49N15
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    zbMATH DE Number
    7743036
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    OpenAlex ID
    W3169289697
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    DOI
    10.1111/MAFI.12322
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