Optimal Consumption by a Bond Investor: The Case of Random Interest Rate Adapted to a Point Process

DOI10.1137/0329036zbMath0733.93084OpenAlexW2173827078MaRDI QIDQ3360773

Peter Lakner, Eric V. Slud

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1137/0329036

zbMATH Keywords

optimal consumptionmartingale theory

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

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Optimal consumption from investment and random endowment in incomplete semimartingale markets. ⋮ Sensitivity of optimal consumption streams

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