Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy


Optimal subsistence consumption and investment problem with bankruptcy is a constrained stochastic optimal control problem in which the consumption rate should be greater than a non-negative subsistence level to maintain a... [ view full abstract ]


  1. Hoi Ying Wong (The Chinese University of Hong Kong)
  2. Mei Choi Chiu (Education University of Hong Kong)
  3. Yong Hyun Shin (Sookmyung Women's University)

Topic Areas

Asymptotics , Optimal Control , Stochastic Volatility


WE-P-B1 » Optimal Control and Optimal Investment 2 (14:30 - Wednesday, 18th July, Beckett 1)

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