Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets

DOI10.1016/j.sysconle.2023.105680MaRDI QIDQ6131470

Qi Zhang, Jiangyan Pu

Publication date: 5 April 2024

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

verification theoremHeston modelnon-Lipschitz conditiongeneralized stochastic differential utilityvariability process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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