Duality for optimal consumption with randomly terminating income

DOI10.1111/mafi.12322zbMath1521.91328arXiv2011.00732OpenAlexW3169289697MaRDI QIDQ6054381

Michael Monoyios, Harry Zheng, Ashley Davey

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.00732

zbMATH Keywords

dualityHJB equationportfolio optimizationsupermartingale deflatorutility from consumptionterminating income

Mathematics Subject Classification ID

Duality theory (optimization) (49N15) Martingales and classical analysis (60G46) Portfolio theory (91G10)

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