Investment and consumption problem in finite time with consumption constraint

DOI10.1051/COCV/2016052zbMath1382.35347OpenAlexW2471565049MaRDI QIDQ4594374

Jian-Bo Zhang, Xiongfei Jian, Fa-huai Yi

Publication date: 23 November 2017

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2016052

zbMATH Keywords

free boundary problemfinite horizonconsumption constraintinvestment and consumption problem

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) PDEs with randomness, stochastic partial differential equations (35R60) Free boundary problems for PDEs (35R35) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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