Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
type: Item
instance of: scholarly article
title: Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
zbMATH Open document ID: 1312.91084
DOI: 10.1214/14-AAP1026
author: Xiang Yu
published in: The Annals of Applied Probability
publication date: 2015-05-29T00:00:00Z
full work available at URL: https://arxiv.org/abs/1112.2940
full work available at URL: https://projecteuclid.org/euclid.aoap/1427124132
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60G48
zbMATH DE Number: 6441185
zbMATH Keywords: time nonseparable utility maximization
zbMATH Keywords: consumption habit formation
zbMATH Keywords: auxiliary processes
zbMATH Keywords: convex duality
zbMATH Keywords: incomplete markets
MaRDI profile type: Publication
arXiv ID: 1112.2940
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OpenAlex ID: W3101411106
description: scientific article