Optimal Consumption and Portfolio Choice with Stopping
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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.
- Funkcialaj Ekvacioj
Funkcialaj Ekvacioj 48(2), 183-202, 2005
Division of Functional Equations, The Mathematical Society of Japan