Optimal consumption-investment with constraints in a regime switching market with random coefficients

DOI10.1007/S00245-024-10203-9MaRDI QIDQ6657501

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Publication date: 6 January 2025

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

regime switchingrandom coefficientsoptimal consumption-investmentmulti-dimensional quadratic backward stochastic differential equation

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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