Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case

DOI10.1137/22M1471560zbMath1518.91234arXiv2012.02277OpenAlexW4378373679MaRDI QIDQ6159082

Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young

Publication date: 1 June 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.02277

zbMATH Keywords

optimal controlfree-boundary problemoptimal consumptionconsumption humpaverage past consumptionaddictive habit formation

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Portfolio theory (91G10) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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