Optimal consumption policies in illiquid markets

DOI10.1007/s00780-010-0123-yzbMath1303.91154arXiv0807.0326OpenAlexW2014889318MaRDI QIDQ483699

Huyên Pham, Alessandra Cretarola, Peter Tankov, Fausto Gozzi

Publication date: 17 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.0326

zbMATH Keywords

optimal controlintegrodifferential equationsviscosity solutionssemiconcavityoptimal consumptionilliquid marketsub/superdifferentials

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items

Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach, Optimal investment in an illiquid market with search frictions and transaction costs, Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset, Mean-variance portfolio selection in presence of infrequently traded stocks, Optimal stopping problems in Lévy models with random observations

Cites Work

• Unnamed Item
• Unnamed Item
• Semiconcave functions, Hamilton-Jacobi equations, and optimal control
• A coupled system of integrodifferential equations arising in liquidity risk model
• Optimal portfolio of low liquid assets with a log-utility function
• A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
• Generalized one-sided estimates for solutions of Hamilton-Jacobi equations and applications
• Convex Analysis
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• The relaxed investor and parameter uncertainty