Optimal retirement in a general market environment
From MaRDI portal
Publication:2045148
DOI10.1007/s00245-020-09671-6zbMath1470.91253OpenAlexW3014393764MaRDI QIDQ2045148
Zhou Yang, Yong Hyun Shin, Hyeng Keun Koo
Publication date: 11 August 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-020-09671-6
consumptionleisureportfolio selectionearly retirementbackward stochastic partial differential variational inequalitynon-Markovian market environmentstochastic free boundary problem
Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)
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