Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
type: Item
instance of: scholarly article
title: Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
zbMATH Open document ID: 0903.90019
DOI: 10.1023/A:1022640321499
published in: Journal of Optimization Theory and Applications
publication date: 1998-03-05T00:00:00Z
Mathematics Subject Classification ID: 91B62
Mathematics Subject Classification ID: 91B42
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 1124794
zbMATH Keywords: continuous-time finite-horizon single-agent consumption and portfolio decision problem
zbMATH Keywords: bankruptcy
zbMATH Keywords: optimal stopping
zbMATH Keywords: martingale theory
zbMATH Keywords: Girsanov change of measure
author: Abel Cadenillas
author: Suresh P. Sethi
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1124794