Utility Maximization with Discretionary Stopping
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Publication:4507457
DOI10.1137/S0363012998346323zbMath0963.93079MaRDI QIDQ4507457
Publication date: 18 October 2000
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
variational inequalityoptimal stoppingstochastic controldualityutility maximizationconvex analysismartingale representationexistence of optimal strategies
Utility theory (91B16) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Duality theory (optimization) (49N15) Portfolio theory (91G10)
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