Optimal entry and consumption under habit formation

DOI10.1017/apr.2021.37zbMath1489.91243arXiv1903.04257OpenAlexW3005715921MaRDI QIDQ5084791

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Publication date: 28 June 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.04257

zbMATH Keywords

viscosity solutionstochastic Perron methodconsumption habit formationoptimal entry problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (1)

Optimal consumption and life insurance under shortfall aversion and a drawdown constraint

Cites Work

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