The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
type: Item
instance of: scholarly article
title: The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
zbMATH Open document ID: 1502.91055
author: Martin Herdegen
author: David Hobson
author: Joseph W. Jerome
published in: Finance and Stochastics
publication date: 2022-12-28T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 7637401
zbMATH Keywords: Epstein-Zin stochastic differential utility
zbMATH Keywords: lifetime investment and consumption
zbMATH Keywords: existence and uniqueness
zbMATH Keywords: verification
zbMATH Keywords: optional strong supermartingales
MaRDI profile type: Publication
full work available at URL: s00780-022-00496-5
OpenAlex ID: W4313288135
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cites work: Optimal consumption and investment with Epstein-Zin recursive utility
cites work: Convex duality for Epstein–Zin stochastic differential utility
cites work: Lifetime investment and consumption with recursive preferences and small transaction costs
cites work: Th�orie des processus stochastiques g�n�raux applications aux surmartingales
cites work: An essay on the general theory of stochastic processes
cites work: Optimal consumption and portfolio selection with stochastic differential utility
cites work: Applications of Martingale System Theorems
cites work: Q4002751
cites work: Consumption-investment optimization with Epstein-Zin utility in incomplete markets
DOI: 10.1007/S00780-022-00496-5
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description: scientific article; zbMATH DE number 7637401