Optimal consumption with reference to past spending maximum

DOI10.1007/s00780-022-00475-wzbMath1484.91449arXiv2006.07223OpenAlexW4220877780MaRDI QIDQ2120541

Yanyan Li

Publication date: 1 April 2022

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.07223

zbMATH Keywords

verification theoremexponential utilityconsumption running maximumpath-dependent referencepiecewise feedback control

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42) Financial markets (91G15)

Related Items (5)

Optimal Investment and Consumption under a Habit-Formation Constraint ⋮ Optimal consumption and life insurance under shortfall aversion and a drawdown constraint ⋮ Consumption-investment decisions with endogenous reference point and drawdown constraint ⋮ Optimal consumption and investment with welfare constraints ⋮ Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation

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