Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy

DOI10.1287/moor.1030.0084zbMath1082.91049OpenAlexW2096213111MaRDI QIDQ5704192

Peter Lakner, Ashay Kadam, Monique Jeanblanc-Picqué

Publication date: 11 November 2005

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.1030.0084

zbMATH Keywords

Hamilton-Jacobi-Bellman equationfree boundary problemutility maximizationbankruptcyconsumption and investment

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20)

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