Optimal consumption policies in illiquid markets

(a) To the best of our knowledge, in optimal control problems without state constraints, the construction of universal near-optimal discretization procedures, or of

The next step is to show that the optimal consumption rate found in Øksendal [25] is also optimal for Prob- lem 3.1, i.e., the relative consumption rate can be chosen independently

On the contrary, if the limit value exists but the uniform value does not, he really needs to know the time horizon before choosing a control.. We will prove that our results do

In this article, we develop an computational agent based model (ABM) to reassess the case for learning regarding the linear buffer-stock rule of Allen and Carroll (2001), and

We introduce a special metric space in which the Feynman - Kac map- ping is contracted. Taking this into account we show the fixed-point theorem for this mapping and we show that

It seems that for the first time an optimization portfolio problem for financial markets with jumps was studied in the paper [15], in which the authors using the stochas- tic

As mentioned above, here we investigate an optimal investment problem over a finite horizon with random trading and observation times given by an inhomogeneous Poisson process with

By using the dynamic programming method, we provide the characterization of the value function of this stochastic control problem in terms of the unique viscosity solution to a