Optimal Consumption and Portfolio Choice with Stopping

被引：0
|
作者：
Koike, Shigeaki [1 ]
Morimoto, Hiroaki [2 ]
机构：
[1] Saitama Univ, Dept Math, Saitama 3388570, Japan
[2] Ehime Univ, Dept Math, Matsuyama, Ehime 7900826, Japan
来源：
FUNKCIALAJ EKVACIOJ-SERIO INTERNACIA | 2005年 / 48卷 / 02期
关键词：
Variational inequality; Viscosity solution; Combined control; Consumption; Portfolio; Stopping time;
D O I：
10.1619/fesi.48.183
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We study the Bellman equation associated with the optimal consumption and portfolio choice problem with stopping times in a complete market. We establish the existence of a strong solution by using the viscosity solutions technique. The optimal policy is shown to exist from the optimality conditions in the variational inequality.
引用
收藏
页码：183 / 202
页数：20
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