Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching

DOI10.4064/BC105-0-8MaRDI QIDQ5265538zbMATH OpenOpenAlexFDO

Authors Huyên Pham, Paul Gassiat, Fausto Gozzi

Publication date 28 July 2015

Published in Banach Center Publications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/bc105-0-8

zbMATH Keywords

continuous-time Markov chaindynamic programmingHamilton-Jacobi-Bellman equationilliquid marketsinvestment/consumption problemviscosity solution

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27) Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Recommendations

• Investment/consumption problem in illiquid markets with regime-switching
• A finite-horizon optimal investment and consumption problem using regime-switching models
• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
• Optimal investment-consumption strategy in a discrete-time model with regime switching
• Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
• Optimal investment and consumption with proportional transaction costs in regime-switching model
• A robust investment-consumption optimization problem in a switching regime interest rate setting
• Optimal portfolio and consumption for a Markovian regime-switching jump-diffusion process
• Explicit solutions of optimal consumption, investment and insurance problems with regime switching
• Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint

Cited in

(3)

• Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
• Investment/consumption problem in illiquid markets with regime-switching
• A stochastic hybrid optimal control with regime switching and recursive cost functional

This page was built for publication: Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5265538)