Utility Maximization with Discretionary Stopping
نویسندگان
چکیده
منابع مشابه
Utility Maximization with Discretionary Stopping
Utility maximization problems of mixed optimal stopping /control type are considered, which can be solved by reduction to a family of related pure optimal stopping problems. Sufficient conditions for the existence of optimal strategies are provided in the context of continuous-time, Itô process models for complete markets. The mathematical tools used are those of optimal stopping theory, contin...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2000
ISSN: 0363-0129,1095-7138
DOI: 10.1137/s0363012998346323