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 equationviscosity solutionilliquid marketsinvestment/consumption problem

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Auctions, bargaining, bidding and selling, and other market models (91B26) 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) Continuous-time Markov processes on discrete state spaces (60J27) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(2)

• Investment/consumption problem in illiquid markets with regime-switching
• Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset

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