An optimal consumption-investment model with constraint on consumption

DOI10.3934/MCRF.2016014zbMath1414.91355arXiv1404.7698OpenAlexW127954762MaRDI QIDQ326805

Zuo Quan Xu, Fa-huai Yi

Publication date: 12 October 2016

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.7698

zbMATH Keywords

free boundary problemconstrained viscosity solutionconstrained consumptionoptimal consumption-investment modelstochastic control in finance

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Free boundary problems for PDEs (35R35) Portfolio theory (91G10)

Related Items (8)

A consumption-investment model with state-dependent lower bound constraint on consumption ⋮ A portfolio choice problem under risk capacity constraint ⋮ An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon ⋮ Dividend optimization for jump-diffusion model with solvency constraints ⋮ A consumption-investment problem with constraints on minimum and maximum consumption rates ⋮ Utility Maximization Under Trading Constraints with Discontinuous Utility ⋮ Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs ⋮ Optimal consumption and portfolio selection with lower and upper bounds on consumption

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