Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment

DOI10.1016/J.JMATECO.2023.102849MaRDI QIDQ6170028zbMATH OpenFDO

Authors Cheng Tao, Ximin Rong, Hui Zhao

Publication date 15 August 2023

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JMATECO.2023.102849

zbMATH Keywords

inhomogeneous regime switchingoptimal investment and consumptionsemimartingalestochastic optimal controlunemployment and reemployment

Mathematics Subject Classification ID

Labor markets (91B39) Consumer behavior, demand theory (91B42) Optimal stochastic control (93E20)

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Cites work

• Borrowing constraints, effective flexibility in labor supply, and portfolio selection
• Constrained investment-reinsurance optimization with regime switching under variance premium principle
• Dividend optimisation: a behaviouristic approach
• Dynamic programming for a Markov-switching jump-diffusion
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• Information and option pricings
• Investment-consumption with regime-switching discount rates
• Lifetime consumption and investment: retirement and constrained borrowing
• On optimal proportional reinsurance and investment in a Markovian regime-switching economy
• On retirement time decision making
• Optimal retirement with borrowing constraints and forced unemployment risk
• Optimum consumption and portfolio rules in a continuous-time model
• Option pricing and Esscher transform under regime switching
• Portfolio selection with regime-switching and state-dependent preferences

Cited in

(3)

• Mutual aid insurance with a three-state Markov chain
• Optimal investment, consumption, and life insurance decisions for households with consumption habits under the health shock risk
• Optimal investment for agents with unhedgeable stochastic income in competitive games

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