Constrained nonsmooth utility maximization on the positive real line

DOI10.3934/mcrf.2015.5.679zbMath1316.93128arXiv1010.4055MaRDI QIDQ2356566

Harry Zheng, Nicholas Westray

Publication date: 30 July 2015

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.4055

zbMATH Keywords

convex duality; random endowment; cone constraints; nonsmooth utility maximization

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

49J55: Existence of optimal solutions to problems involving randomness

Related Items

Optimal investment with deferred capital gains taxes

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