Optimal Consumption and Portfolio Choice with Stopping

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概要

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• We study the Bellman equation associated with the optimal consumption and portfolio choice problem with stopping times in a complete market. We establish the existence of a strong solution by using the viscosity solutions technique. The optimal policy is shown to exist from the optimality conditions in the variational inequality.

• 日本数学会函数方程式論分科会の論文

著者

• Morimoto Hiroaki

  Ehime University

• Koike Shigeaki

  Saitama University

関連論文

• Optimal Consumption and Portfolio Choice with Stopping

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