Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets

DOI10.1214/22-aap1918zbMath1530.91556arXiv2108.00337OpenAlexW3192594504MaRDI QIDQ6187488

Anastasiya Tanana

Publication date: 15 January 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.00337

zbMATH Keywords

incomplete marketsconvex dualityutility maximizationrunning maximumdrawdown constraint on consumptionratcheting of consumption

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Financial markets (91G15)

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