Corpus ID: 237503463

A consumption-investment model with state-dependent lower bound constraint on consumption

  title={A consumption-investment model with state-dependent lower bound constraint on consumption},
  author={Chonghu Guan and Zuo Quan Xu and Fahuai Yi},
This paper considers a life-time consumption-investment problem under the Black-Scholes framework, where the investor’s consumption rate is subject to a lower bound constraint that linearly depends on the investor’s wealth. Due to the state-dependent control constraint, the standard stochastic control theory cannot be directly applied to our problem. We overcome this obstacle by examining an equivalent problem that does not impose state-dependent control constraint. It is shown that the value… Expand


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  • T. Zariphopoulou
  • Computer Science
  • [1991] Proceedings of the 30th IEEE Conference on Decision and Control
  • 1991
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