Optimal Consumption and Portfolio Choice with Stopping

Shigeaki Koike, Hiroaki Morimoto

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)183-202
Number of pages20
JournalFunkcialaj Ekvacioj
Issue number2
Publication statusPublished - 2005 Jan 1
Externally publishedYes


  • Combined control
  • Consumption
  • Portfolio
  • Stopping time
  • Variational inequality
  • Viscosity solution

ASJC Scopus subject areas

  • Analysis
  • Algebra and Number Theory
  • Geometry and Topology


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