抄録
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.
| 本文言語 | English |
|---|---|
| ページ（範囲） | 183-202 |
| ページ数 | 20 |
| ジャーナル | Funkcialaj Ekvacioj |
| 巻 | 48 |
| 号 | 2 |
| DOI | |
| 出版ステータス | Published - 2005 1月 1 |
| 外部発表 | はい |
ASJC Scopus subject areas
- 分析
- 代数と数論
- 幾何学とトポロジー