Utility Maximization with Discretionary Stopping

@article{Karatzas2000UtilityMW,
  title={Utility Maximization with Discretionary Stopping},
  author={Ioannis Karatzas and Hui Wang},
  journal={SIAM J. Control and Optimization},
  year={2000},
  volume={39},
  pages={306-329}
}
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, continuous-time martingales, convex analysis and duality theory. Several examples are solved explicitly… CONTINUE READING

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