Dual Control Methods for a Mixed Control Problem with Optimal Stopping Arising in Optimal Consumption and Investment

DOI10.4208/nmtma.OA-2022-0001OpenAlexW4293659443MaRDI QIDQ5094719

Jie Xing, Shan Yang, Jingtang Ma

Publication date: 4 August 2022

Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/nmtma.oa-2022-0001

zbMATH Keywords

optimal investment and consumptionstochastic control with optimal stoppingnonlinear free boundary problemsleast-squares Monte-Carlo methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Consumer behavior, demand theory (91B42) Discrete approximations in optimal control (49M25)

Cites Work

• Unnamed Item
• Unnamed Item
• Optimal consumption-portfolio choices and retirement planning
• Lifetime consumption and investment: retirement and constrained borrowing
• Verification Theorems for Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
• Utility Maximization with Discretionary Stopping
• Optimal Consumption and Portfolio Selection with Early Retirement Option
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION