Infinite-horizon investment consumption model with a nonterminal bankruptcy

DOI10.1007/BF00940898zbMath0795.90003OpenAlexW2921360564MaRDI QIDQ1321221

Suresh P. Sethi, Michael I. Taksar

Publication date: 27 April 1994

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00940898

zbMATH Keywords

bankruptcyportfolio decisioninfinite-horizoncontinuous-timerecovery processdiffusion with delayed reflection

Mathematics Subject Classification ID

Related Items (8)

Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy ⋮ Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients ⋮ Many-player games of optimal consumption and investment under relative performance criteria ⋮ Optimal investment-consumption strategy under inflation in a Markovian regime-switching market ⋮ Pension funds with a minimum guarantee: a stochastic control approach ⋮ The optimal dividend payout model with terminal values and its application ⋮ Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy ⋮ Stochastic optimal control on dividend policies with bankruptcy

Cites Work

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• Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
• Sticky Brownian motion as the limit of storage processes
• RISK‐AVERSION BEHAVIOR IN CONSUMPTION/INVESTMENT PROBLEMS¹
• Diffusion Processes in One Dimension

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