A two-person zero-sum game approach for a retirement decision with borrowing constraints
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Publication:6623044
DOI10.1137/22m1528124MaRDI QIDQ6623044
Minsuk Kwak, Junkee Jeon, Hyeng Keun Koo
Publication date: 23 October 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
general utilityNash-equilibriumborrowing constraintoptimal retirementHamilton-Jacobi-Bellman quasi-variational inequalitydual two-person zero-sum game
Noncooperative games (91A10) Variational inequalities (49J40) 2-person games (91A05) Optimal stochastic control (93E20) Portfolio theory (91G10)
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