The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
DOI10.1007/s00780-022-00496-5zbMath1502.91055OpenAlexW4313288135MaRDI QIDQ2111246
David G. Hobson, Joseph W. Jerome, Martin Herdegen
Publication date: 28 December 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-022-00496-5
verificationexistence and uniquenessoptional strong supermartingalesEpstein-Zin stochastic differential utilitylifetime investment and consumption
Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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