The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
From MaRDI portal
Publication:2111246
DOI10.1007/s00780-022-00496-5zbMath1502.91055MaRDI QIDQ2111246
Joseph W. Jerome, Martin Herdegen, David G. Hobson
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
verification; existence and uniqueness; optional strong supermartingales; Epstein-Zin stochastic differential utility; lifetime investment and consumption
91B16: Utility theory
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G10: Portfolio theory
