Optimal retirement in a general market environment
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Publication:2045148
DOI10.1007/s00245-020-09671-6zbMath1470.91253MaRDI 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
consumption; leisure; portfolio selection; early retirement; backward stochastic partial differential variational inequality; non-Markovian market environment; stochastic free boundary problem
93E20: Optimal stochastic control
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
91G10: Portfolio theory
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