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Print ISSN : 0532-8721
Optimal Consumption and Portfolio Choice with Stopping
Shigeaki Koike, Hiroaki Morimoto
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Keywords: Variational inequality, Viscosity solution, Combined control, Consumption, Portfolio, Stopping time
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2005 Volume 48 Issue 2 Pages 183-202

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Abstract
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.
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© 2005 by the Division of Functional Equations, The Mathematical Society of Japan
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