The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for (0,1)
DOI10.1007/S00780-022-00496-5zbMATH Open1502.91055OpenAlexW4313288135MaRDI QIDQ2111246FDOQ2111246
David Hobson, Joseph W. Jerome, Martin Herdegen
Publication date: 28 December 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-022-00496-5
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Cites Work
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- Th�orie des processus stochastiques g�n�raux applications aux surmartingales
- An essay on the general theory of stochastic processes
- Optimal consumption and investment with Epstein-Zin recursive utility
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets
- Applications of Martingale System Theorems
- Convex duality for Epstein–Zin stochastic differential utility
- The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
- Lifetime investment and consumption with recursive preferences and small transaction costs
- An elementary approach to the Merton problem
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