A consumption-investment problem with constraints on minimum and maximum consumption rates

DOI10.1016/J.CAM.2018.02.006zbMath1395.91416OpenAlexW2793437623MaRDI QIDQ1743955

Chonghu Guan, Fa-huai Yi, Qing-Hua Ma

Publication date: 16 April 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.02.006

zbMATH Keywords

optimal strategiesconsumption-investment problemfree boundariesconstraints on consumption rate

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (3)

Some results for a \(p(x)\)-Kirchhoff type variation-inequality problems in non-divergence form ⋮ An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon ⋮ Optimal consumption and portfolio selection with lower and upper bounds on consumption

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