Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
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Publication:1379951
DOI10.1023/A:1022640321499zbMath0903.90019MaRDI QIDQ1379951
Suresh P. Sethi, Abel Cadenillas
Publication date: 5 March 1998
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
optimal stoppingbankruptcymartingale theoryGirsanov change of measurecontinuous-time finite-horizon single-agent consumption and portfolio decision problem
Economic growth models (91B62) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Consumer behavior, demand theory (91B42)
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