Investment/Consumption Problem in Illiquid Markets with Regime-Switching

DOI10.1137/120876976zbMath1297.49040arXiv1107.4210OpenAlexW2952762841MaRDI QIDQ3192141

Huyên Pham, Paul Gassiat, Fausto Gozzi

Publication date: 26 September 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.4210

zbMATH Keywords

stochastic controlMarkov chainviscosity solutionsregime-switching modelsdynamic programming methodoptimal consumptionliquidity effectsintegro-partial differential system

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving relations other than differential equations (49K21) Integro-partial differential equations (35R09)

Related Items (12)

Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact ⋮ Optimal market dealing under constraints ⋮ Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause ⋮ Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching ⋮ Expected power-utility maximization under incomplete information and with Cox-process observations ⋮ Optimal investment in an illiquid market with search frictions and transaction costs ⋮ Robust Optimization of Credit Portfolios ⋮ Optimal investment-consumption strategy under inflation in a Markovian regime-switching market ⋮ Stochastic impulse control with regime-switching dynamics ⋮ OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS ⋮ Expected log-utility maximization under incomplete information and with Cox-process observations ⋮ Optimal Investment Under Information Driven Contagious Distress

This page was built for publication: Investment/Consumption Problem in Illiquid Markets with Regime-Switching